The Jarrow and Turnbull setting revisited

DOI10.1142/S0219024923500322MaRDI QIDQ6644188

Josef Teichmann, Thomas Krabichler

Publication date: 27 November 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

credit riskterm structure modelliquidity riskaffine jump diffusionFX-analogyJarrow and Turnbull

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• A general HJM framework for multiple yield curve modelling
• A general version of the fundamental theorem of asset pricing
• Affine processes and applications in finance
• Diffusion-type models with given marginal distribution and autocorrelation function
• A simple model for credit migration and spread curves
• Interest Rate Modeling: Post-Crisis Challenges and Approaches
• THE MULTI-CURVE POTENTIAL MODEL
• DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM
• A Fundamental Theorem of Asset Pricing for Continuous Time Large Financial Markets in a Two Filtration Setting
• Deep hedging
• DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE

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