A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch

DOI10.1016/j.ejor.2015.08.031zbMath1346.91243OpenAlexW1906628425MaRDI QIDQ320915

Viviana Fanelli

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.08.031

zbMATH Keywords

HJM modelcredit crisisbasis swapsLibor modelsmulti-curve term structure modelling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Related Items (6)

Convexity adjustment for constant maturity swaps in a multi-curve framework ⋮ Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Approximate pricing of swaptions in affine and quadratic models ⋮ Implications of implicit credit spread volatilities on interest rate modelling ⋮ Integrated structural approach to credit value adjustment ⋮ Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling

Cites Work

• Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
• Interest rate models -- theory and practice. With smile, inflation and credit
• Multiple Ratings Model of Defaultable Term Structure
• CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS
• RATING BASED LÉVY LIBOR MODEL
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics

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