Ernst Eberlein Jan Kallsen Page 1 Springer Finance Ernst Eberlein Jan Kallsen Mathematical
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …

Abstract The London InterBank Offered Rate is scheduled for discontinuation, and the
replacement advocated by US regulators is the Secured Overnight Financing Rate (SOFR) …

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 …

This paper draws a parallel between the economic and financial points of view in the
modeling of long-term yield curves and provides new results on asymptotic long rates. The …

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 …

Starting from the observation that single-currency swap basis spreads contradict classical
arbitrage arguments, we construct a framework where this basis arises due to the presence …

In this paper we investigate the consequences on the pricing of insurance contingent claims
when we relax the typical independence assumption made in the actuarial literature …

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 …

We study the problems of consistency and the existence of finite-dimensional realizations for
multi-curve interest rate models of Heath–Jarrow–Morton type, generalizing the geometric …

The general problem of asset pricing when the discount rate differs from the rate at which an
asset's cash flows accrue is considered. A pricing kernel framework is used to model an …