A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL

DOI10.1142/S0219024922500054zbMath1484.91495arXiv2109.10779OpenAlexW4206692907MaRDI QIDQ5066297

Stefan Thonhauser, Sascha Desmettre, Sanela Omerovic, Simon Hochgerner

Publication date: 29 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.10779

zbMATH Keywords

mean-field gamesSolvency IILIBOR market modelsBlack's formulalife insurance portfoliosexploding ratesvaluation of long-term guarantees

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Mean field games (aspects of game theory) (91A16)

Cites Work

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• Mean-field stochastic differential equations and associated PDEs
• A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
• Probabilistic Theory of Mean Field Games with Applications I

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