平均场地市场模型经过修订
Manuel Hasenbichler1, Wolfgang Müller1, Stefan Thonhauser1
1Institute of Statistics, Graz University of Technology, Kopernikusgasse 24/III, 8010 Graz, Styria Austria.
概括
本研究介绍了用于金融风险管理的实用平均场LIBOR市场模型. 它可以有效校准和模拟期货利率,包括来自SOFR和ESTR的期货利率,确保模型的稳定性.
科学领域:
- 量化金融 量化金融
- 金融建模金融建模
- 风险管理 风险管理
背景情况:
- LIBOR市场模型 (LMM) 是利率衍生品定价的一个标准.
- 平均场模型提供理论上的优势,但往往缺乏实际实施.
- 从IBOR过渡到无风险利率 (RFR) 需要适应性的建模框架.
研究的目的:
- 为了呈现一个新的,实际的平均场LMM.
- 为了能够有效地控制长期利率在长时间的变化.
- 为了促进基于SOFR和ESTR等RFR的后期期息率的建模.
主要方法:
- 在经典的金融框架中嵌入一个平均场模型.
- 开发一种方法来控制没有嵌套模拟的术语速率偏差.
- 应用框架来建模从SOFR和ESTR衍生出的后期期息率.
主要成果:
- 拟议的模型通过高效的校准和模拟来保持LMM的可行性.
- 该框架成功地模拟了从RFRs获得的后期期息率.
- 理论论证和校准研究提供了对模型稳定性和极端速率的概率的见解.
结论:
- 新的平均场LMM为金融建模提供了实用和高效的替代方案.
- 该框架适应RFR的适应性解决了正在进行的市场转型.
- 该模型通过允许估计极端利率概率来增强风险管理.
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