实值仿射过程驱动的仿射LIBOR模型
Affine LIBOR models driven by real-valued affine processes
摘要：
仿射LIBOR模型的类是有吸引力的，因为它满足利率建模的三个主要要求。它是无仲裁的，利率是非负的，可以分析计算出caplet和swaption价格。为了保证利率非负，仿射LIBOR模型由非负仿射过程驱动，这一限制使得很难产生波动率微笑。我们修改仿射LIBOR模型，以这样一种方式，实值仿射过程可以使用不破坏利率的非负性。数值例子表明，在这类模型中，明显的波动率微笑是可能的。
英文摘要：
The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative and caplet and swaption prices can be calculated analytically. In order to guarantee nonnegative interest rates affine LIBOR models are driven by nonnegative affine processes, a restriction, which makes it hard to produce volatility smiles. We modify the affine LIBOR models in such a way that real-valued affine processes can be used without destroying the nonnegativity of interest rates. Numerical examples show that in this class of models pronounced volatility smiles are possible.
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