A stochastic control perspective on term structure models with roll-over risk

DOI10.1007/s00780-023-00515-zzbMath1524.91127arXiv2304.04453MaRDI QIDQ6074008

Wolfgang J. Runggaldier, Claudio Fontana, Simone Pavarana

Publication date: 12 October 2023

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2304.04453

zbMATH Keywords

stochastic controlinterest rateliquidity riskbenchmark approachmultiplicative spreadrisk-sensitive portfolio optimisationroll-over riskterm rate

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• A general HJM framework for multiple yield curve modelling
• No arbitrage of the first kind and local martingale numéraires
• How non-arbitrage, viability and numéraire portfolio are related
• PDE and martingale methods in option pricing.
• Towards a general theory of bond markets
• Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
• A consistent stochastic model of the term structure of interest rates for multiple tenors
• The numéraire portfolio in semimartingale financial models
• Interest rate models: an infinite dimensional stochastic analysis perspective
• A benchmark approach to quantitative finance
• Diffusion-Based Models for Financial Markets Without Martingale Measures
• ARBITRAGE-FREE MULTIFACTOR TERM STRUCTURE MODELS: A THEORY BASED ON STOCHASTIC CONTROL
• Risk-Sensitive Investment Management
• Interest Rate Modeling: Post-Crisis Challenges and Approaches
• Stochastic Differential Equations in Infinite Dimensions
• CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH
• Bond Market Structure in the Presence of Marked Point Processes
• Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
• Optimal investment with intermediate consumption under no unbounded profit with bounded risk
• Portfolio Theory and Arbitrage
• Large Financial Markets, Discounting, and No Asymptotic Arbitrage
• Arbitrage Theory in Continuous Time
• Stochastic Control and Pricing Under Swap Measures
• The numeraire portfolio for unbounded semimartingale
• Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach
• Decomposing LIBOR in transition: evidence from the futures markets

This page was built for publication: A stochastic control perspective on term structure models with roll-over risk