The purpose of this book is to provide a bridge between new research results motivated by
the financial crisis and classical literature on interest rate modeling. Motivation. The …

We develop a general term structure framework taking stochastic discontinuities explicitly
into account. Stochastic discontinuities are a key feature in interest rate markets, as for …

We provide a general and tractable framework under which all multiple yield curve modeling
approaches based on affine processes, be it short rate, Libor market, or Heath–Jarrow …

We introduce a class of measure-valued processes, which–in analogy to their finite
dimensional counterparts–will be called measure-valued polynomial diffusions. We show …

This manuscript introduces deep learning models that simultaneously describe the
dynamics of several yield curves. We aim to learn the dependence structure among the …

This article presents a theoretical model for interbank money market (XIBOR) rates that
endogenously generates the basis spreads that characterize post-crisis fixed income …

Retail banks use Asset Liability Management (ALM) to hedge interest rate risk associated
with differences in maturity and predictability of their loan and deposit portfolios. The …

The LIBOR rate is an average reference rate for unsecured lending in the London Interbank
Market. It is computed daily by the British Bankers Association and is available for all major …

Shot-Noise processes constitute a useful tool in various areas, in particular in finance. They
allow to model abrupt changes in a more flexible way than processes with jumps and hence …

We consider the practice-relevant problem of modelling multiple price curves to support
activities such as price curve simulation and risk management. In this multi-curve setting, the …