The multi-curve potential model

DOI10.1142/S0219024915500491MaRDI QIDQ3460685zbMATH OpenOpenAlexFDO

Authors the Anh Nguyen, Frank Thomas Seifried

Publication date 8 January 2016

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024915500491

zbMATH Keywords

foreign exchange ratesFRA rateFRA spreadLIBORLIBOR-OIS spreadmulti-curve modelsOISpotential approachrational lognormal modelstate-price deflator

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A general HJM framework for multiple yield curve modelling
• A Lévy HJM multiple-curve model with application to CVA computation
• A multiple-curve HJM model of interbank risk
• A note on the Flesaker-Hughston model of the term structure of interest rates
• Affine LIBOR models with multiple curves: theory, examples and calibration
• Chaos and coherence: a new framework for interest–rate modelling
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 1454625 (Why is no real title available?)
• scientific article; zbMATH DE number 3223983 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• Interest rate models: an introduction
• International models for interest rates and foreign exchange.
• Modern LIBOR market models: using different curves for projecting rates and for discounting

Cited in

(26)

• Multiple yield curve modelling with CBI processes
• A consistent stochastic model of the term structure of interest rates for multiple tenors
• A pure-jump mean-reverting short rate model
• Fair prices under a unified lattice approach for interest rate derivatives
• Term structure modelling for multiple curves with stochastic discontinuities
• A multicurve cross-currency LIBOR market model
• Interest rate modeling: post-crisis challenges and approaches
• Affine LIBOR models with multiple curves: theory, examples and calibration
• scientific article; zbMATH DE number 5284499 (Why is no real title available?)
• Modern LIBOR market models: using different curves for projecting rates and for discounting
• A multi-quality model of interest rates
• Multi-curve HJM modelling for risk management
• The potential approach in practice
• Multi-curve modelling using trees
• Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
• Multi-curve construction. Definition, calibration, implementation and application of rate curves
• Rational multi-curve models with counterparty-risk valuation adjustments
• The affine rational potential model
• Price impact on term structure
• Rational models for inflation-linked derivatives
• An arithmetic pure-jump multi-curve interest rate model
• Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
• A multi-curve HJM factor model for pricing and risk management
• Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach
• The Jarrow and Turnbull setting revisited
• The geometry of multi-curve interest rate models

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