Dynamic term structure modeling beyond the paradigm of absolute continuity

DOI10.6094/UNIFR/151675MaRDI QIDQ5212606zbMATH OpenFDO

Authors Sandrine Gümbel

Publication date 29 January 2020

Full work available at URL https://doi.org/10.6094/UNIFR/151675

zbMATH Keywords

credit risk marketsdefaultable term structure modelinginterest rate marketsterm structure modeling

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

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Cited in

(5)

• Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
• Term structure modelling for multiple curves with stochastic discontinuities
• The Continuous-Time Ehrenfest Process in Term Structure Modelling
• Prediction bias correction for dynamic term structure models
• Term structure modeling with overnight rates beyond stochastic continuity

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