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
Oskar-Morgenstern-Platz 1, 1090 Wien

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