英文标题：
《Multiple curve L\\\'evy forward price model allowing for negative interest
rates》
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作者：
Ernst Eberlein, Christoph Gerhart and Zorana Grbac
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最新提交年份：
2018
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英文摘要：
In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the classical as well as the L\\\'evy Libor market model, it allows in a natural way for negative interest rates and has superb calibration properties even in the presence of extremely low rates. Moreover, the measure changes along the tenor structure are simplified significantly. These properties make it an excellent base for a post-crisis multiple curve setup. Two variants for multiple curve constructions are discussed. Time-inhomogeneous L\\\'evy processes are used as driving processes. An explicit formula for the valuation of caps is derived using Fourier transform techniques. Based on the valuation formula, we calibrate the two model variants to market data.
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中文摘要：
在本文中，我们开发了一个基于远期价格过程方法的离散复合利率框架。这种方法有许多优点，特别是在当前的市场环境下。与经典的以及列维Libor市场模型相比，它以一种自然的方式允许负利率，并且即使在利率极低的情况下也具有极好的校准特性。此外，度量沿语旨结构的变化被显著简化。这些特性使其成为危机后多重曲线设置的良好基矗讨论了多曲线构造的两种变体。时间不均匀的Levy过程被用作驱动过程。利用傅立叶变换技术导出了CAP估值的显式公式。根据估值公式，我们将两个模型变量与市场数据进行校准。
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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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