Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach

DOI10.3934/fmf.2023009zbMath1522.91288OpenAlexW3121215229MaRDI QIDQ6078122

Unnamed Author, David Skovmand, Erik Schlögl, Andrea Macrina

Publication date: 27 September 2023

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/fmf.2023009

zbMATH Keywords

affine term structure modelsbasis swapsOISrisk-free ratesroll-over riskcalibration and estimationIBORinterest rate benchmark reformLIBOR transitionmulti-curve interest rate term structure

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40) Financial markets (91G15)

Related Items (1)

A stochastic control perspective on term structure models with roll-over risk

Cites Work

• A consistent stochastic model of the term structure of interest rates for multiple tenors
• Parsimonious HJM modelling for multiple yield curve dynamics
• A multi-quality model of interest rates
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
• Affine multiple yield curve models
• Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads*

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