Term structure modeling with overnight rates beyond stochastic continuity (Q6178393)
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scientific article; zbMATH DE number 7790869
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Term structure modeling with overnight rates beyond stochastic continuity |
scientific article; zbMATH DE number 7790869 |
Statements
Term structure modeling with overnight rates beyond stochastic continuity (English)
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18 January 2024
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affine processes
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alternative risk-free rate
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hedging
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Libor reform
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local risk-minimization
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semimartingales
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SOFR
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SONIA
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stochastic discontinuities
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STR
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