A multiple-curve HJM model of interbank risk
From MaRDI portal
Publication:1938982
Recommendations
- A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch
- A Lévy HJM multiple-curve model with application to CVA computation
- Interbank credit risk modeling with self-exciting jump processes
- A multiple curve Lévy swap market model
- A general HJM framework for multiple yield curve modelling
Cites work
- A cross-currency Lévy market model
- A multi-quality model of interest rates
- Analysis of Fourier transform valuation formulas and applications
- Bilateral counterparty risk under funding constraints. II: CVA
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Computation of copulas by Fourier methods
- Credit risk in Lévy Libor modeling: rating based approach.
- Credit risk: Modelling, valuation and hedging
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 1639858 (Why is no real title available?)
- scientific article; zbMATH DE number 1466110 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 2241893 (Why is no real title available?)
- Introductory lectures on fluctuations of Lévy processes with applications.
- Lévy term structure models: no-arbitrage and completeness
- Martingale methods in financial modelling.
- Multiple ratings model of defaultable term structure.
- Parsimonious HJM modelling for multiple yield curve dynamics
- Term structure models driven by general Lévy processes
- The Defaultable Lévy Term Structure: Ratings and Restructuring
- VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
Cited in
(29)- Convexity adjustment for constant maturity swaps in a multi-curve framework
- Implications of implicit credit spread volatilities on interest rate modelling
- An algebraic method for pricing financial instruments on post-crisis market
- Minimal variance hedging in multicurve interest rate modeling
- Multiple yield curve modelling with CBI processes
- A pure-jump mean-reverting short rate model
- Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
- Term structure modelling for multiple curves with stochastic discontinuities
- A multicurve cross-currency LIBOR market model
- A general HJM framework for multiple yield curve modelling
- Interest rate modeling: post-crisis challenges and approaches
- Affine LIBOR models with multiple curves: theory, examples and calibration
- A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch
- The multi-curve potential model
- A tractable LIBOR model with default risk
- A multiple-curve Lévy forward rate model in a two-price economy
- Multi-curve HJM modelling for risk management
- A Lévy HJM multiple-curve model with application to CVA computation
- Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
- Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
- Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
- A multiple curve Lévy swap market model
- Interbank credit risk modeling with self-exciting jump processes
- Bilateral counterparty risk under funding constraints. II: CVA
- An arithmetic pure-jump multi-curve interest rate model
- Counterparty risk and funding: the four wings of the TVA
- A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
- Decomposing LIBOR in transition: evidence from the futures markets
- Cross-currency Heath-Jarrow-Morton framework in the multiple-curve setting
This page was built for publication: A multiple-curve HJM model of interbank risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1938982)
