英文标题：
《Back-of-the-envelope swaptions in a very parsimonious multicurve
interest rate model》
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作者：
Roberto Baviera
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最新提交年份：
2017
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英文摘要：
We propose an elementary model to price European physical delivery swaptions in multicurve setting with a simple exact closed formula. The proposed model is very parsimonious: it is a three-parameter multicurve extension of the two-parameter Hull-White (1990) model. The model allows also to obtain simple formulas for all other plain vanilla Interest Rate derivatives. Calibration issues are discussed in detail.
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中文摘要：
我们提出了一个基本模型，用一个简单的精确闭合公式对多曲线环境下的欧洲实物交割掉期期权进行定价。该模型非常简洁：它是两参数Hull-White（1990）模型的三参数多曲线扩展。该模型还允许获得所有其他普通利率衍生品的简单公式。详细讨论了校准问题。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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