基于LIBOR市场模型的负利率现实世界情景

Q3 Mathematics Applied Mathematical Finance Pub Date : 2018-07-09 DOI:10.1080/1350486X.2018.1492348

S. Lopes, C. Vázquez

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引用次数: 3

摘要

在本文中，我们提出了一种模拟现实世界概率测度下利率演变的方法。更准确地说，使用多维移位对数正态LIBOR市场模型和风险向量过程的市场价格规范，我们解释了如何使用具有预测校正策略的Euler-Maruyama方案来模拟未来的现实世界远期利率。拟议的方法考虑到目前在市场上观察到的负利率的存在。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model

ABSTRACT In this article, we present a methodology to simulate the evolution of interest rates under real-world probability measure. More precisely, using the multidimensional Shifted Lognormal LIBOR market model and a specification of the market price of risk vector process, we explain how to perform simulations of the real-world forward rates in the future, using the Euler‒Maruyama scheme with a predictor‒corrector strategy. The proposed methodology allows for the presence of negative interest rates as currently observed in the markets.

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来源期刊

Applied Mathematical Finance Economics, Econometrics and Finance-Finance

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.

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