Real-World Scenarios With Negative Interest Rates based on the LIBOR Market Model. Issue 5 (2nd November 2018)
- Record Type:
- Journal Article
- Title:
- Real-World Scenarios With Negative Interest Rates based on the LIBOR Market Model. Issue 5 (2nd November 2018)
- Main Title:
- Real-World Scenarios With Negative Interest Rates based on the LIBOR Market Model
- Authors:
- Lopes, Sara Dutra
Vázquez, Carlos - Abstract:
- ABSTRACT: In this article, we present a methodology to simulate the evolution of interest rates under real-world probability measure. More precisely, using the multidimensional Shifted Lognormal LIBOR market model and a specification of the market price of risk vector process, we explain how to perform simulations of the real-world forward rates in the future, using the Euler‒Maruyama scheme with a predictor‒corrector strategy. The proposed methodology allows for the presence of negative interest rates as currently observed in the markets.
- Is Part Of:
- Applied mathematical finance. Volume 25:Issue 5/6(2018)
- Journal:
- Applied mathematical finance
- Issue:
- Volume 25:Issue 5/6(2018)
- Issue Display:
- Volume 25, Issue 5/6 (2018)
- Year:
- 2018
- Volume:
- 25
- Issue:
- 5/6
- Issue Sort Value:
- 2018-0025-NaN-0000
- Page Start:
- 466
- Page End:
- 482
- Publication Date:
- 2018-11-02
- Subjects:
- Real world model -- scenario simulation -- interest rate -- shifted lognormal forward rates -- market price of risk
Business mathematics -- Periodicals
650.0151 - Journal URLs:
- http://www.tandfonline.com/ ↗
- DOI:
- 10.1080/1350486X.2018.1492348 ↗
- Languages:
- English
- ISSNs:
- 1350-486X
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 1573.705000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 10145.xml