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

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

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

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

caps; calibration; swaptions; Libor; basis spread; affine Libor models; basis swaptions; multiple curve models; OIS

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)