Montag, 22. November 2021, 16:45 - 17:45 iCal
ISOR Colloquium
MOVED TO SUMMER SEMESTER 2022 DUE TO COVID19 RESTRICTIONS @UNIVIE
"Mean-field LIBOR market models and valuation of long term guarantees"
Speaker: Simon Hochgerner (FMA - Austrian Financial Market Authority)
tba
Vortrag
MOVED TO SUMMER SEMESTER 2022 DUE TO COVID19 RESTRICTIONS @UNIVIE
LIBOR market models (LMMs) are widely used to valuate interest rate dependent options and guarantees. Currently these models are also applied by life insurance companies to calculate market consistent values of (very) long term contracts with embedded financial options or guarantees. However, in the long term modeling context, LMMs generally suffer from blow-up, i.e. explosion of rates. With the motivation of reducing the blow-up probability we introduce a mean-field extension of LIBOR market models (MF-LMMs). This talk will be about background and motivation for MF-LMMs, existence and uniqueness, various calibration options and numerical results.
Link to the preprint: arxiv.org/abs/2109.10779
Zur Webseite der Veranstaltung
Veranstalter
Institut für Statistik und Operations Research
Kontakt
Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631
sabine.sobotka-tompits@univie.ac.at
Erstellt am Montag, 22. November 2021, 11:35
Letzte Änderung am Dienstag, 23. November 2021, 11:00