Multiple yield curve modelling with CBI processes

DOI10.1007/s11579-020-00289-4zbMath1471.91588arXiv1911.02906OpenAlexW3121024098MaRDI QIDQ2037767

Alessandro Gnoatto, Claudio Fontana, Guillaume Szulda

Publication date: 8 July 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.02906

zbMATH Keywords

branching processinterest ratespreadaffine processself-exciting processLIBOR rateOIS ratemulti-curve model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of branching processes (60J85) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Arbitrage-free Nelson-Siegel model for multiple yield curves ⋮ Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty ⋮ CBI-time-changed Lévy processes

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