Consistent recalibration of yield curve models

DOI10.1111/mafi.12159zbMath1411.91622arXiv1502.02926OpenAlexW1501485946MaRDI QIDQ4581289

Mario V. Wüthrich, David Stefanovits, Philipp Harms, Josef Teichmann

Publication date: 16 August 2018

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

Full work available at URL: https://arxiv.org/abs/1502.02926

zbMATH Keywords

interest rateterm structureyield curveconsistent re-calibrationHull-White extension

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (7)

Exponential moment bounds and strong convergence rates for tamed-truncated numerical approximations of stochastic convolutions ⋮ On the mild Itô formula in Banach spaces ⋮ CONSISTENT YIELD CURVE PREDICTION ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ Convergence analysis of constraint energy minimizing generalized multiscale finite element method for a linear stochastic parabolic partial differential equation driven by additive noises ⋮ Regime switching affine processes with applications to finance ⋮ Exponential moments for numerical approximations of stochastic partial differential equations

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