仿射多重收益率曲线模型
Affine multiple yield curve models
摘要：
我们提供了一个通用的和易于处理的框架下，所有多个收益率曲线建模方法的基础上仿射过程，无论是短期利率，伦敦银行同业拆借利率市场，或HJM建模，可以合并。我们建立了一个数值过程和伦敦银行同业拆借利率和简单复合OIS利率之间的乘法利差模型，作为一个基本仿射过程的函数。除了允许有序的价差和精确拟合最初观察到的期限结构，这个一般框架导致易于处理的估值公式caplet和互换，并嵌入所有现有的多曲线仿射模型。所提出的方法也引起了新的发展，如由Wishart过程驱动的短期利率类型模型，我们推导出一个封闭形式的定价公式。我们的框架的两个规格的实证表现说明校准市场数据。
英文摘要：
We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, can be consolidated. We model a numeraire process and multiplicative spreads between Libor rates and simply compounded OIS rates as functions of an underlying affine process. Besides allowing for ordered spreads and an exact fit to the initially observed term structures, this general framework leads to tractable valuation formulas for caplets and swaptions and embeds all existing multi-curve affine models. The proposed approach also gives rise to new developments, such as a short rate type model driven by a Wishart process, for which we derive a closed-form pricing formula for caplets. The empirical performance of two specifications of our framework is illustrated by calibration to market data.
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