Affine LIBOR models with multiple curves

Lunedì 18 marzo 2013 ore 15:00 - Aula 1BC50 - Antonis Papapantoleon


Seminario di Probabilità e Finanza matematica

Lunedì 18 marzo alle ore 15 in Aula 1BC50 il Professor Antonis Papapantoleon della TU di Berlino terrà un seminario come segue:

Title: Affine LIBOR models with multiple curves

Abstract: In this talk, we start by discussing the changes to interest rate markets that have resulted form the recent financial crisis. Then we present an extension of the LIBOR market model with stochastic basis spreads, which is developed in the spirit of the affine LIBOR models. This multiple-curve model satisfies the main no-arbitrage and market requirements (such as nonnegative LIBOR-OIS spreads) already by construction. Furthermore, we clarify the connection between the affine LIBOR setup and classical LIBOR market models. The use of multidimensional affine processes as driving processes ensures the analytical tractability of the model. We provide pricing formulas for caps, and discuss swaptions.

Markus Fischer