英文标题：
《Derivative pricing for a multi-curve extension of the Gaussian,
  exponentially quadratic short rate model》
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作者：
Zorana Grbac, Laura Meneghello, Wolfgang J. Runggaldier
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最新提交年份：
2016
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英文摘要：
  The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the short rate itself, we introduce short rate spreads. In particular, we consider a Gaussian factor model where the short rate and the spreads are second order polynomials of Gaussian factor processes. This leads to an exponentially quadratic model class that is less well known than the exponentially affine class. In the latter class the factors enter linearly and for positivity one considers square root factor processes. While the square root factors in the affine class have more involved distributions, in the quadratic class the factors remain Gaussian and this leads to various advantages, in particular for derivative pricing. After some preliminaries on martingale modeling in the multi-curve setup, we concentrate on pricing of linear and optional derivatives. For linear derivatives, we exhibit an adjustment factor that allows one to pass from pre-crisis single curve values to the corresponding post-crisis multi-curve values.
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中文摘要：
最近的金融危机导致了所谓的期限结构多曲线模型。这里我们研究了短期利率模型的多曲线扩展，除了短期利率本身，我们还引入了短期利率利差。特别地，我们考虑了一个高斯因子模型，其中短期利率和利差是高斯因子过程的二阶多项式。这导致了一个指数二次模型类，它不如指数仿射类那么广为人知。在后一类中，因子以线性形式输入，对于正性，我们考虑平方根因子过程。虽然仿射类中的平方根因子具有更复杂的分布，但在二次类中，因子仍然是高斯分布，这导致了各种优势，尤其是对于衍生产品定价。在对多曲线系统中的鞅模型做了一些初步研究之后，我们将重点讨论线性和可选导数的定价。对于线性衍生工具，我们展示了一个调整因子，允许人们从危机前的单曲线值传递到相应的危机后多曲线值。
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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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