Manuel Hasenbichler, Wolfgang Müller, Stefan Thonhauser
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引用次数: 0
摘要
在本文中，我们对Desmettre等人（Int J theory app Finance, 2022）引入的平均场LIBOR市场模型提出了另一种观点。https://doi.org/10.1142/S0219024922500054)。我们的新方法将平均场模型嵌入到经典设置中，但保留了在大时间范围内控制期限利率方差的关键特征。这保持了市场模型的实用性，因为校准和模拟可以在没有嵌套模拟的情况下有效地进行。此外，我们表明，我们的框架可以直接应用于由SOFR、ESTR或其他几乎无风险的隔夜短期利率衍生的逾期利率模型——这是一个关键特征，因为许多IBOR利率正逐渐被取代。这些结果由一项校准研究和一些理论论点加以补充，这些理论论点允许在所提出的市场模型中估计不切实际的高费率的可能性。
In this paper, we present an alternative perspective on the mean-field LIBOR market model introduced by Desmettre et al. (Int J Theor Appl Finance, 2022. https://doi.org/10.1142/S0219024922500054). Our novel approach embeds the mean-field model in a classical setup, but retains the crucial feature of controlling the term rate's variances over large time horizons. This maintains the market model's practicability, since calibrations and simulations can be carried out efficiently without nested simulations. In addition, we show that our framework can be directly applied to model in-arrear term rates derived from SOFR, ESTR or other nearly risk-free overnight short-term rates-a crucial feature since many IBOR rates are gradually being replaced. These results are complemented by a calibration study and some theoretical arguments which allow to estimate the probability of unrealistically high rates in the presented market models.
期刊介绍：
Actuarial science and actuarial finance deal with the study, modeling and managing of insurance and related financial risks for which stochastic models and statistical methods are available. Topics include classical actuarial mathematics such as life and non-life insurance, pension funds, reinsurance, and also more recent areas of interest such as risk management, asset-and-liability management, solvency, catastrophe modeling, systematic changes in risk parameters, longevity, etc. EAJ is designed for the promotion and development of actuarial science and actuarial finance. For this, we publish original actuarial research papers, either theoretical or applied, with innovative applications, as well as case studies on the evaluation and implementation of new mathematical methods in insurance and actuarial finance. We also welcome survey papers on topics of recent interest in the field. EAJ is the successor of six national actuarial journals, and particularly focuses on links between actuarial theory and practice. In order to serve as a platform for this exchange, we also welcome discussions (typically from practitioners, with a length of 1-3 pages) on published papers that highlight the application aspects of the discussed paper. Such discussions can also suggest modifications of the studied problem which are of particular interest to actuarial practice. Thus, they can serve as motivation for further studies.Finally, EAJ now also publishes ‘Letters’, which are short papers (up to 5 pages) that have academic and/or practical relevance and consist of e.g. an interesting idea, insight, clarification or observation of a cross-connection that deserves publication, but is shorter than a usual research article. A detailed description or proposition of a new relevant research question, short but curious mathematical results that deserve the attention of the actuarial community as well as novel applications of mathematical and actuarial concepts are equally welcome. Letter submissions will be reviewed within 6 weeks, so that they provide an opportunity to get good and pertinent ideas published quickly, while the same refereeing standards as for other submissions apply. Both academics and practitioners are encouraged to contribute to this new format. Authors are invited to submit their papers online via http://euaj.edmgr.com.
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