Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration

DOI10.1137/15M1011731zbMath1338.91143arXiv1405.2450MaRDI QIDQ3195114

Antonis Papapantoleon, David Skovmand, Zorana Grbac, John G. M. Schoenmakers

Publication date: 21 October 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.2450

zbMATH Keywords

capscalibrationswaptionsLiborbasis spreadaffine Libor modelsbasis swaptionsmultiple curve modelsOIS

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (19)

Arbitrage-free Nelson-Siegel model for multiple yield curves ⋮ Convexity adjustment for constant maturity swaps in a multi-curve framework ⋮ A general HJM framework for multiple yield curve modelling ⋮ THE MULTI-CURVE POTENTIAL MODEL ⋮ Price impact on term structure ⋮ A multi-curve HJM factor model for pricing and risk management ⋮ A pure-jump mean-reverting short rate model ⋮ The affine inflation market models ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ Rational Models for Inflation-Linked Derivatives ⋮ Cross Currency Valuation and Hedging in the Multiple Curve Framework ⋮ Minimal variance hedging in multicurve interest rate modeling ⋮ Multi-curve Construction ⋮ CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS ⋮ AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL ⋮ Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA ⋮ Term structure modelling for multiple curves with stochastic discontinuities ⋮ A Multiple Curve Lévy Swap Market Model ⋮ A multicurve cross-currency LIBOR market model

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