THE MULTI-CURVE POTENTIAL MODEL

DOI10.1142/S0219024915500491zbMath1337.91120OpenAlexW3125757004MaRDI QIDQ3460685

the Anh Nguyen, Frank Thomas Seifried

Publication date: 8 January 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024915500491

zbMATH Keywords

foreign exchange ratesLIBOR-OIS spreadpotential approachstate-price deflatorLIBORrational lognormal modelmulti-curve modelsOISFRA rateFRA spread

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

THE AFFINE RATIONAL POTENTIAL MODEL, Price impact on term structure, Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration, THE POTENTIAL APPROACH IN PRACTICE, A pure-jump mean-reverting short rate model, Rational Models for Inflation-Linked Derivatives, Multiple yield curve modelling with CBI processes, Term structure modelling for multiple curves with stochastic discontinuities, Rational multi-curve models with counterparty-risk valuation adjustments

Cites Work

• A general HJM framework for multiple yield curve modelling
• Interest rate models -- theory and practice. With smile, inflation and credit
• A multiple-curve HJM model of interbank risk
• Chaos and coherence: a new framework for interest–rate modelling
• Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration
• MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING
• A note on the Flesaker-Hughston model of the term structure of interest rates
• A Lévy HJM multiple-curve model with application to CVA computation
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