Martino Grasselli and Giulio Miglietta

Finance Group (2016) : A Flexible Spot Multiple-Curve Model

A Flexible Spot Multiple-Curve Model

Martino Grasselli and Giulio Miglietta

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Quantitative Finance

We propose a model for the instantaneous risk-free spot rate and for the spot LIBOR, driven by a time-homogeneous Markovian process. We introduce deterministic time-shifts in order to match any initial term-structure. By doing so, the model automatically becomes an exogenous term-structure model, in the spirit of Brigo and Mercurio (2001) who proposed this approach in the single curve case. A calibration exercise based on real data illustrates the flexibility of our approach for some typical specifications used in the literature and in the banking industry.

To cite this publication :

Martino Grasselli, Giulio Miglietta: A Flexible Spot Multiple-Curve Model. Dans: Quantitative Finance, 16 (10), p. 1465-1477, 2016, ISSN: 1469-7688.

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