Arbitrage-free Nelson-Siegel model for multiple yield curves

DOI10.1007/s11579-021-00308-yzbMath1484.91493OpenAlexW3204369689MaRDI QIDQ2120601

Christoph Gerhart, Eva Lütkebohmert, Riccardo Brignone

Publication date: 1 April 2022

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-021-00308-y

zbMATH Keywords

dynamic factor modelNelson-Siegel curveaffine processesmultiple term structures

Mathematics Subject Classification ID

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

Related Items (1)

Interest Rates Term Structure Models Driven by Hawkes Processes

Cites Work

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• A Multiple Curve Lévy Swap Market Model
• Affine multiple yield curve models
• Nonlinear Economic Dynamics and Financial Modelling
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