Multiple curve Lévy forward price model allowing for negative interest rates

DOI10.1111/MAFI.12210OpenAlexW2964288303MaRDI QIDQ5109986

Ernst Eberlein, Zorana Grbac, Christoph Gerhart

Publication date: 14 May 2020

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

Full work available at URL: https://arxiv.org/abs/1805.02605

zbMATH Keywords

multiple yield curvesLIBOR-OIS spreadnegative interest ratestime-inhomogeneous Lévy processesforward price model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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