A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives
提出一个多因子模型，假设LIBOR即期利率在风险中性测度下服从对数正态过程，并引入与期货利率溢价相关的额外因子。模型校准于期货利率期限结构和利率上限期权隐含波动率，用于定价欧式和百慕大式互换期权、利差期权等衍生品。
We propose a multifactor model in which the spot rate, LIBOR, follows a lognormal process, with a stochastic conditional mean, under the risk-neutral measure. In addition to the spot rate factor, the second factor is related to the premium of the first futures rate over the spot LIBOR. Similarly, the third factor is related to the premium of the second futures rate over the first futures rate. We calibrate the model to the initial term structure of futures rates and to the implied volatilities of interest rate caplets. We then apply the model to price interest rate derivatives such as European- and Bermudan-style swaptions, and yieldspread options. The model can be employed to price more complex interest rate derivatives such as path-dependent derivatives or multi-currency-dependent derivatives because of its Markovian property.