摘要翻译：
我们提供了一种基于仿射因子过程类的通用而灵活的LIBOR建模方法。我们的方法尊重LIBOR利率非负的基本经济要求，以及数学金融学的基本要求，LIBOR利率相对于其自身的远期测度是解析可处理的鞅。此外，最重要的是，我们的方法还导致了多LIBOR收益的分析可处理的表达式。因此，这种方法结合了众所周知的远期价格模型和经典LIBOR利率模型的优点。几个例子被添加和原型挥发性微笑显示。我们相信，基于CIR过程的LIBOR模型可能对应用特别感兴趣，因为上限和互换的封闭形式估值公式是推导出来的。
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英文标题：
《The affine LIBOR models》
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作者：
Martin Keller-Ressel, Antonis Papapantoleon, Josef Teichmann
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are non-negative, and the basic requirement from mathematical finance that LIBOR rates are analytically tractable martingales with respect to their own forward measure. Additionally, and most importantly, our approach also leads to analytically tractable expressions of multi-LIBOR payoffs. This approach unifies therefore the advantages of well-known forward price models with those of classical LIBOR rate models. Several examples are added and prototypical volatility smiles are shown. We believe that the CIR-process based LIBOR model might be of particular interest for applications, since closed form valuation formulas for caps and swaptions are derived.
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PDF链接：
https://arxiv.org/pdf/0904.0555