Yield Curves in the Post-LIBOR World
Typ
Examensarbete för masterexamen
Master's Thesis
Master's Thesis
Program
Engineering mathematics and computational science (MPENM), MSc
Publicerad
2023
Författare
Brun, Victor
Modellbyggare
Tidskriftstitel
ISSN
Volymtitel
Utgivare
Sammanfattning
The transition from the forward-looking LIBOR to backward-looking rates such as
SOFR presents a modelling challenge, as the widely used LIBOR Market Model
(LMM) is designed for forward-looking rates. To address this, the generalised Forward Market Model (FMM) has been proposed, capable of describing both forward-and backward-looking rates.
In this thesis, we study the properties of the FMM, focusing on the differentiability of the yield to maturity curve implied by the Heath-Jarrow-Morton-fitted
FMM. We investigate the non-differentiability of the yield to maturity curve, and
show that it is heavily influenced by the choice of zero-coupon bond interpolation
method.
Beskrivning
Ämne/nyckelord
Interest rates, backward-looking rates, LIBOR, generalised forward market model, yield curve.