Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA  

作　　者：Antonis Papapantoleon Robert Wardenga 

机构地区：[1]Department of Mathematics,National Technical University of Athens,Zografou Campus,15780 Athens,Greece [2]Institut f¨ur MathematischeStochastik,TUDresden,01062Dresden,Germany

出　　处：《Probability, Uncertainty and Quantitative Risk》2018年第1期1-28,共28页概率、不确定性与定量风险（英文）

摘　　要：We consider the class of affine LIBOR models with multiple curves,which is an analytically tractable class of discrete tenor models that easily accommodates positive or negative interest rates and positive spreads.By introducing an interpolat-ing function,we extend the affine LIBOR models to a continuous tenor and derive expressions for the instantaneous forward rate and the short rate.We show that the continuous tenor model is arbitrage-free,that the analytical tractability is retained under the spot martingale measure,and that under mild conditions an interpolating function can be found such that the extended model fits any initial forward curve.This allows us to compute value adjustments(i.e.XVAs)consistently,by solving the corresponding‘pre-default’BSDE.As an application,we compute the price and value adjustments for a basis swap,and study the model risk associated to different interpolating functions.

关 键 词：Affine LIBORmodels Multiple curves Discrete tenor Continuous tenor INTERPOLATION XVA Model risk 

分 类 号：O17[理学—数学]