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Paper / 2023SMQ / 198440323171108
Mean-field Libor market model and valuation of long term guarantees
Eva Kienbacher / Florian Gach / Gabriel Schachinger / Simon Hochgerner
interest rates / stochastic differential equationsResource overview

Mean-field Libor market model and valuation of long term guarantees

Paper2023

by Eva Kienbacher, Florian Gach, Gabriel Schachinger, Simon Hochgerner

Tags
interest ratesstochastic differential equationsterm structure models

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Suggested foundations for rates and fixed income and stochastic processes and pricing. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Conditional Expectation

    Understand what it means to condition on current information.

  4. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

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