Term structure modeling with overnight rates beyond stochastic continuity

DOI10.1111/mafi.12415arXiv2202.00929OpenAlexW4386022965MaRDI QIDQ6178393

Claudio Fontana, Zorana Grbac, Thorsten Schmidt

Publication date: 18 January 2024

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

Full work available at URL: https://arxiv.org/abs/2202.00929

zbMATH Keywords

hedgingsemimartingalesaffine processeslocal risk-minimizationSTRSOFRstochastic discontinuitiesalternative risk-free rateLibor reformSONIA

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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