Montag, 25. April 2022, 16:45 - 17:45 iCal

ISOR Colloquium

"Mean-field LIBOR market models and valuation of long term guarantees"

Speaker: Simon Hochgerner (FMA - Austrian Financial Market Authority)

HS 7 OMP1 (#1.303)
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag

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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

 

The talk also can be joined online via ZOOM: univienna.zoom.us/j/65118886276

Meeting room opens at: April 25, 2022 4.30 pm Vienna

Meeting ID: 651 1888 6276

Password: 224609

 

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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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 Mittwoch, 13. April 2022, 11:02
Letzte Änderung am Mittwoch, 20. April 2022, 10:53