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- W2783233502 abstract "We present a new multi-factor short rate model which is bounded from below by a real-valued function of time. The mean-reverting short rate process is modeled by a sum of pure-jump Ornstein-Uhlenbeck processes such that the related bond price possesses an affine representation. We also provide the dynamics of the associated LIBOR and instantaneous forward rate and derive a condition under which the model can be market-consistently calibrated. We further establish customized probability measure changes to the respective forward measures. The analytical tractability of our model is illustrated by the derivation of explicit option price formulas. With view on practical applications, we propose suitable probability distributions for jump noise modeling. We conclude the paper by presenting multi-curve extensions of our short, forward and LIBOR rate models." @default.
- W2783233502 created "2018-01-26" @default.
- W2783233502 creator A5090198498 @default.
- W2783233502 date "2018-01-01" @default.
- W2783233502 modified "2023-09-30" @default.
- W2783233502 title "A Lower-Bounded Short Rate Model" @default.
- W2783233502 doi "https://doi.org/10.2139/ssrn.3091517" @default.
- W2783233502 hasPublicationYear "2018" @default.
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