Talk

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

25.04.2022 16:45 - 17:45

 

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: https://arxiv.org/abs/2109.10779

 

The talk also can be joined online via our ZOOM MEETING

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

Meeting ID: 651 1888 6276

Password: 224609

Location:
HS 7 OMP1 (#1.303)