Multiple curve Lévy forward price model allowing for negative interest rates
DOI10.1111/MAFI.12210OpenAlexW2964288303MaRDI QIDQ5109986FDOQ5109986
Ernst Eberlein, Zorana Grbac, Christoph Gerhart
Publication date: 14 May 2020
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.02605
multiple yield curvesLIBOR-OIS spreadnegative interest ratestime-inhomogeneous Lévy processesforward price model
Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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- INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES
- Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
- Title not available (Why is that?)
- Empirical analysis and forecasting of multiple yield curves
- Multiple yield curve modelling with CBI processes
- Sincov's and other functional equations and negative interest rates
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