A general HJM framework for multiple yield curve modelling

DOI10.1007/s00780-016-0291-5zbMath1376.91166arXiv1406.4301OpenAlexW3121437287MaRDI QIDQ287657

Alessandro Gnoatto, Christa Cuchiero, Claudio Fontana

Publication date: 23 May 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.4301

zbMATH Keywords

stochastic partial differential equationsemimartingaleaffine processesforward rate agreementHJM modelLibor ratemultiple yield curvesmultiplicative spreads

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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