Rational multi-curve models with counterparty-risk valuation adjustments

DOI10.1080/14697688.2015.1095348zbMath1468.91180arXiv1502.07397OpenAlexW1601480046MaRDI QIDQ5001175

Andrea Macrina, Stéphane Crépey, David Skovmand, Tuyet Nguyen Mai

Publication date: 16 July 2021

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

Full work available at URL: https://arxiv.org/abs/1502.07397

zbMATH Keywords

calibrationrisk managementLIBORMarkov functionalsbasis swapcounterparty-riskmulti-curve interest rate term structure modelsrational asset pricing models

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration ⋮ Stochastic modelling with randomized Markov bridges ⋮ Rational Models for Inflation-Linked Derivatives ⋮ AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL ⋮ BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL

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