A multiple-curve Lévy forward rate model in a two-price economy

DOI10.1080/14697688.2017.1384558zbMath1400.91586OpenAlexW2770105051MaRDI QIDQ4554436

Christoph Gerhart, Ernst Eberlein

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://www.freidok.uni-freiburg.de/dnb/download/11132

zbMATH Keywords

calibrationinterest rate derivativesnegative interest ratestwo-price theorytime-inhomogeneous Lévy processesmonotonicity of curvesmultiple-curve bootstrappingmultiple-curve model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (5)

Arbitrage-free Nelson-Siegel model for multiple yield curves ⋮ Empirical analysis and forecasting of multiple yield curves ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ Hybrid Lévy Models: Design and Computational Aspects ⋮ A Multiple Curve Lévy Swap Market Model

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