Workshop: Concluding Workshop
Time: Thu, December 04, 2008, 11:15-11:45
Speaker: Antonis Papapantoleon
Abstract
LIBOR market models for interest rate derivatives suffer from severe intractability problems; especially for models driven by jump processes, even caplets cannot be priced in closed form. On the other hand, modeling the forward price produces a very tractable model, but negative LIBOR rates can occur (similarly to HJM models).
In this work we propose a new approach to LIBOR modeling based on affine processes. We construct suitable martingales and then model LIBOR rates in a manner that produces positive LIBOR rates and is analytically very
tractable.
This talk is based on joint work with Josef Teichmann and Martin Keller-Ressel.
Presentation slides (pdf, 241 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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