摘要翻译：
本文提出了一种基于仿射过程的利率衍生品定价方法。我们扩展了Keller-Ressel等人提出的方法。（2009）通过改变状态空间的选择。我们为上限和楼层的定价提供了半封闭形式的解决方案。然后，我们证明了在一个多因素的环境下对交换定价是可能的，具有很好的分析可处理性。这是通过Collin-Dufresne和Goldstein(2002)开发的Edgeworth扩展方法完成的。一个数字练习说明了Wishart Libor模型在描述隐含波动率表面的移动方面的灵活性。
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英文标题：
《A flexible matrix Libor model with smiles》
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作者：
Jos\'e Da Fonseca and Alessandro Gnoatto and Martino Grasselli
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最新提交年份：
2012
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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：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We then show that it is possible to price swaptions in a multifactor setting with a good degree of analytical tractability. This is done via the Edgeworth expansion approach developed in Collin-Dufresne and Goldstein (2002). A numerical exercise illustrates the flexibility of Wishart Libor model in describing the movements of the implied volatility surface.
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PDF链接：
https://arxiv.org/pdf/1203.4786