Term structure modelling for multiple curves with stochastic discontinuities
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Publication:2308181
DOI10.1007/s00780-020-00416-5zbMath1435.91195arXiv1810.09882OpenAlexW3006030268MaRDI QIDQ2308181
Sandrine Gümbel, Thorsten Schmidt, Zorana Grbac, Claudio Fontana
Publication date: 25 March 2020
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.09882
Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Random measures (60G57) Financial markets (91G15)
Related Items (8)
Arbitrage-free Nelson-Siegel model for multiple yield curves ⋮ DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ A multi-curve HJM factor model for pricing and risk management ⋮ No free lunch for markets with multiple numéraires ⋮ The martingale problem method revisited ⋮ Term structure modeling with overnight rates beyond stochastic continuity ⋮ Multiple yield curve modelling with CBI processes ⋮ A Multiple Curve Lévy Swap Market Model
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