A multi-curve HJM factor model for pricing and risk management

DOI10.1080/14697688.2023.2251179MaRDI QIDQ6067802zbMATH OpenFDO

Authors Tobias Bienek, Griselda Deelstra, Andreas Lichtenstern, R. Zagst

Publication date 14 December 2023

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2023.2251179

zbMATH Keywords

affine processesmultiple yield curvesmultiplicative spreadXIBOR rate

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A consistent stochastic model of the term structure of interest rates for multiple tenors
• A general HJM framework for multiple yield curve modelling
• A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
• A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
• Affine LIBOR models with multiple curves: theory, examples and calibration
• Affine multiple yield curve models
• Calibration of one-factor and two-factor hull-white models using swaptions
• Empirical Evaluation of Hybrid Defaultable Bond Pricing Models
• Existence of optimal consumption strategies in markets with longevity risk
• Fixing risk neutral risk measures
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Interest rate modeling: post-crisis challenges and approaches
• Interest-rate management
• Parsimonious HJM modelling for multiple yield curve dynamics
• Pricing credit derivatives under stochastic recovery in a hybrid model
• Term structure modelling for multiple curves with stochastic discontinuities
• Term-structure models. A graduate course
• The affine LIBOR models
• The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
• The Markov-switching jump diffusion LIBOR market model
• Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products

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