THE MULTI-CURVE POTENTIAL MODEL
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Publication:3460685
DOI10.1142/S0219024915500491zbMath1337.91120OpenAlexW3125757004MaRDI QIDQ3460685
the Anh Nguyen, Frank Thomas Seifried
Publication date: 8 January 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024915500491
foreign exchange ratesLIBOR-OIS spreadpotential approachstate-price deflatorLIBORrational lognormal modelmulti-curve modelsOISFRA rateFRA spread
Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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THE AFFINE RATIONAL POTENTIAL MODEL, Price impact on term structure, Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration, THE POTENTIAL APPROACH IN PRACTICE, A pure-jump mean-reverting short rate model, Rational Models for Inflation-Linked Derivatives, Multiple yield curve modelling with CBI processes, Term structure modelling for multiple curves with stochastic discontinuities, Rational multi-curve models with counterparty-risk valuation adjustments
Cites Work
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- Interest rate models -- theory and practice. With smile, inflation and credit
- A multiple-curve HJM model of interbank risk
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- Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration
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- A note on the Flesaker-Hughston model of the term structure of interest rates
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