Multiple curve Lévy forward price model allowing for negative interest rates

DOI10.1111/MAFI.12210MaRDI QIDQ5109986zbMATH OpenOpenAlexFDO

Authors Ernst Eberlein, Christoph Gerhart, Zorana Grbac

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

zbMATH Keywords

multiple yield curvesLIBOR-OIS spreadnegative interest ratestime-inhomogeneous Lévy processesforward price model

Mathematics Subject Classification ID

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

Recommendations

• A multiple-curve Lévy forward rate model in a two-price economy
• scientific article; zbMATH DE number 6610053
• Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
• Affine multiple yield curve models
• A multiple curve Lévy swap market model
• Yield curves and forward curves for diffusion models of short rates
• An arithmetic pure-jump multi-curve interest rate model
• Arbitrage-free Nelson-Siegel model for multiple yield curves
• A model of the term structure of interest rates based on Lévy fields
• A multicurve cross-currency LIBOR market model

Cited in

(12)

• A pure-jump mean-reverting short rate model
• scientific article; zbMATH DE number 6610053 (Why is no real title available?)
• Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
• A multiple curve Lévy swap market model
• Empirical analysis and forecasting of multiple yield curves
• Multi-curve construction. Definition, calibration, implementation and application of rate curves
• Interbank credit risk modeling with self-exciting jump processes
• Multiple yield curve modelling with CBI processes
• Affine LIBOR models with multiple curves: theory, examples and calibration
• A multiple-curve Lévy forward rate model in a two-price economy
• Real-world scenarios with negative interest rates based on the LIBOR market model
• Sincov's and other functional equations and negative interest rates

This page was built for publication: Multiple curve Lévy forward price model allowing for negative interest rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5109986)