Affine LIBOR models driven by real-valued affine processes

Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration

We introduce a multiple curve framework that combines tractable dynamics and semianalytic pricing formulas with positive interest rates and basis spreads. Negative rates and positive spreads can also be accommodated in this framework. The dynamics of overnight indexed swap and LIBOR rates are specified following the methodology of the affine LIBOR models and are driven by the wide and flexible ...

Extended Libor Market Models with Affine and Quadratic Volatility

The market model of interest rates specifies simple forward or Libor rates as log-normally distributed, their stochastic dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the product of a quadratic polynomial and a level-independent covariance matrix. The extended Libor market models allow for closed form cap pricing form...

application of affine gray-box neural models for nonlinear control of chemical processes

Affine Models

Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as empirical aspects of the affine model class. Starting from the original one-factor shortrate models of Vasiček and Cox et al, we provide an overview of the ...

Affine Processes Are Regular

We show that stochastically continuous, time-homogeneous affine processes on the canonical state space R>0 × R n are always regular. In the paper of Duffie, Filipovic, and Schachermayer (2003) regularity was used as a crucial basic assumption. It was left open whether this regularity condition is automatically satisfied, for stochastically continuous affine processes. We now show that the regul...