[图书][B] Mathematical finance
E Eberlein, J Kallsen - 2019 - Springer
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 …
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …
Dynamic term structure models for SOFR futures
JB Skov, D Skovmand - Journal of Futures Markets, 2021 - Wiley Online Library
Abstract The London InterBank Offered Rate is scheduled for discontinuation, and the
replacement advocated by US regulators is the Secured Overnight Financing Rate (SOFR) …
replacement advocated by US regulators is the Secured Overnight Financing Rate (SOFR) …
Term structure modelling for multiple curves with stochastic discontinuities
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 …
into account. Stochastic discontinuities are a key feature in interest rate markets, as for …
Ramsey rule with forward/backward utility for long-term yield curves modeling
N El Karoui, C Hillairet, M Mrad - Decisions in Economics and Finance, 2022 - Springer
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 …
modeling of long-term yield curves and provides new results on asymptotic long rates. The …
Affine multiple yield curve models
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 …
approaches based on affine processes, be it short rate, Libor market, or Heath–Jarrow …
A consistent stochastic model of the term structure of interest rates for multiple tenors
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 …
arbitrage arguments, we construct a framework where this basis arises due to the presence …
The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options
G Deelstra, M Grasselli, C Van Weverberg - Insurance: Mathematics and …, 2016 - Elsevier
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 …
when we relax the typical independence assumption made in the actuarial literature …
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 …
The geometry of multi-curve interest rate models
C Fontana, G Lanaro, A Murgoci - Quantitative Finance, 2024 - Taylor & Francis
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 …
multi-curve interest rate models of Heath–Jarrow–Morton type, generalizing the geometric …
Consistent valuation across curves using pricing kernels
A Macrina, O Mahomed - Risks, 2018 - mdpi.com
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 …
asset's cash flows accrue is considered. A pricing kernel framework is used to model an …