A Lévy HJM multiple-curve model with application to CVA computation

DOI10.1080/14697688.2014.942232zbMath1398.91573OpenAlexW1995704428MaRDI QIDQ4683048

Zorana Grbac, Nathalie Ngor, David Skovmand, Stéphane Crépey

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10398/fa4940e5-fe2f-4b68-8d45-e3f48397d559

zbMATH Keywords

Lévy processfundinginterest rate derivativecredit valuation adjustment (CVA)multiple-curve term structure model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (20)

Convexity adjustment for constant maturity swaps in a multi-curve framework ⋮ A general HJM framework for multiple yield curve modelling ⋮ THE MULTI-CURVE POTENTIAL MODEL ⋮ Impact of multiple curve dynamics in credit valuation adjustments under collateralization ⋮ Multi-curve HJM modelling for risk management ⋮ Price impact on term structure ⋮ Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration ⋮ Pricing cross-currency interest rate swaps under the Lévy market model ⋮ Implications of implicit credit spread volatilities on interest rate modelling ⋮ A pure-jump mean-reverting short rate model ⋮ Cross Currency Valuation and Hedging in the Multiple Curve Framework ⋮ Minimal variance hedging in multicurve interest rate modeling ⋮ Multi-curve Construction ⋮ Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments ⋮ AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST 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 Multiple Curve Lévy Swap Market Model ⋮ Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling ⋮ Rational multi-curve models with counterparty-risk valuation adjustments

Uses Software

• ElemStatLearn

Cites Work

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• Counterparty Credit Risk, Collateral and Funding

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