Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model

DOI10.1007/978-3-319-33446-2_10zbMath1398.91594arXiv1512.03259OpenAlexW2193986188MaRDI QIDQ4689909

Wolfgang J. Runggaldier, Zorana Grbac, Laura Meneghello

Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.03259

zbMATH Keywords

Riccati equationsshort rate modelsmulti-curve modelsadjustment factorsGaussian exponentially quadratic modelspricing of linear and optional interest rate derivativesshort rate spreads

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 (3)

Arbitrage-free Nelson-Siegel model for multiple yield curves ⋮ Multiple yield curve modelling with CBI processes ⋮ BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL

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