英文标题：
《Affine multiple yield curve models》
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作者：
Christa Cuchiero and Claudio Fontana and Alessandro Gnoatto
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最新提交年份：
2017
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英文摘要：
We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, can be consolidated. We model a numeraire process and multiplicative spreads between Libor rates and simply compounded OIS rates as functions of an underlying affine process. Besides allowing for ordered spreads and an exact fit to the initially observed term structures, this general framework leads to tractable valuation formulas for caplets and swaptions and embeds all existing multi-curve affine models. The proposed approach also gives rise to new developments, such as a short rate type model driven by a Wishart process, for which we derive a closed-form pricing formula for caplets. The empirical performance of two specifications of our framework is illustrated by calibration to market data.
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中文摘要：
我们提供了一个通用且易于处理的框架，在此框架下，所有基于仿射过程的多收益率曲线建模方法，无论是短期利率、伦敦银行同业拆借利率市场还是HJM建模，都可以得到整合。我们将伦敦银行同业拆借利率和简单复合OIS利率之间的计算过程和乘法利差建模为基础仿射过程的函数。除了考虑到有序利差和与最初观察到的期限结构的精确拟合之外，这个通用框架还为caplet和swoption提供了易于处理的估值公式，并嵌入了所有现有的多曲线仿射模型。所提出的方法也带来了新的发展，例如由Wishart过程驱动的短期利率类型模型，为此我们推导了一个封闭形式的caplet定价公式。通过对市场数据的校准，说明了我们框架的两个规范的实证性能。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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