Multiple curve Lévy forward price model allowing for negative interest rates
E Eberlein, C Gerhart, Z Grbac - Mathematical Finance, 2020 - Wiley Online Library
In this paper, we develop a framework for discretely compounding interest rates that is
based on the forward price process approach. This approach has a number of advantages …
based on the forward price process approach. This approach has a number of advantages …
[PDF][PDF] Credit risk in Lévy LIBOR modeling: rating based approach
Z Grbac - 2010 - freidok.uni-freiburg.de
Modeling of credit risk has become a very important and rapidly expanding field of
mathematical finance in the last fifteen years. Apart from a purely academic interest, the …
mathematical finance in the last fifteen years. Apart from a purely academic interest, the …
Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models
A Papapantoleon, J Schoenmakers… - arxiv preprint arxiv …, 2011 - arxiv.org
The LIBOR market model is very popular for pricing interest rate derivatives, but is known to
have several pitfalls. In addition, if the model is driven by a jump process, then the …
have several pitfalls. In addition, if the model is driven by a jump process, then the …
A multiple-curve Lévy forward rate model in a two-price economy
E Eberlein, C Gerhart - Quantitative Finance, 2018 - Taylor & Francis
An advanced Heath–Jarrow–Morton forward rate model driven by time-inhomogeneous
Lévy processes is presented which is able to handle the recent development to multiple …
Lévy processes is presented which is able to handle the recent development to multiple …
Pricing Defaultable Bonds Using a Lévy Jump‐Diffusion Model
SL Chiang, MS Tsai - International Review of Finance, 2019 - Wiley Online Library
This paper uses a reduced‐form approach to derive a closed‐form pricing formula for
defaultable bonds. The authors specify the default hazard rate as an affine function of …
defaultable bonds. The authors specify the default hazard rate as an affine function of …
Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
RM Verschuren - Quantitative Finance, 2020 - Taylor & Francis
In current financial markets negative interest rates have become rather persistent, while in
theory it is often common practice to discard such rates as incredible and irrelevant …
theory it is often common practice to discard such rates as incredible and irrelevant …
[PDF][PDF] Stochastic Interest Rate Modeling using a Single Curve: An Empirical Performance Analysis of the Lévy Forward Price Model
R Verschuren - researchgate.net
In current financial markets negative interest rates have become rather persistent, while in
theory it is often common practice to discard such rates as incredible and irrelevant …
theory it is often common practice to discard such rates as incredible and irrelevant …
[PDF][PDF] Libor Market Model: How to account for the Crisis?
E Gourier - Affine and Quadratic Models for Volatility and Interest …, 2013 - zora.uzh.ch
In this paper we build a new model for Libor rates, which accounts for the stylized effects that
appeared during the financial crisis in the dynamics of rates with different tenor structures …
appeared during the financial crisis in the dynamics of rates with different tenor structures …
[CYTOWANIE][C] Die Edgeworth-Approximation zur Kalibrierung eines Lévy-Hybridmodells unter dem physikalischen Maß
M Polley - 2016 - freidok.uni-freiburg.de
FreiDok plus - Die Edgeworth-Approximation zur Kalibrierung eines Lévy-Hybridmodells
unter dem physikalischen Maß FreiDok plus Universitätsbibliothek Freiburg de | en : OA …
unter dem physikalischen Maß FreiDok plus Universitätsbibliothek Freiburg de | en : OA …
[CYTOWANIE][C] Levy driven financial models
E Eberlein - mathnet.ru
Видеотека: E. Eberlein, Lévy driven financial models Видеотека RUS ENG ЖУРНАЛЫ
ПЕРСОНАЛИИ ОРГАНИЗАЦИИ КОНФЕРЕНЦИИ СЕМИНАРЫ ВИДЕОТЕКА ПАКЕТ …
ПЕРСОНАЛИИ ОРГАНИЗАЦИИ КОНФЕРЕНЦИИ СЕМИНАРЫ ВИДЕОТЕКА ПАКЕТ …