A consistent stochastic model of the term structure of interest rates for multiple tenors
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DOI: 10.1016/j.jedc.2020.103861
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- Mesias Alfeus & Martino Grasselli & Erik Schlögl, 2017. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Research Paper Series 384, Quantitative Finance Research Centre, University of Technology, Sydney.
- Mesias Alfeus & Martino Grasselli & Erik Schlogl, 2018. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Papers 1809.06643, arXiv.org.
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Citations
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Cited by:
- Claudio Fontana & Simone Pavarana & Wolfgang J. Runggaldier, 2023. "A stochastic control perspective on term structure models with roll-over risk," Finance and Stochastics, Springer, vol. 27(4), pages 903-932, October.
- Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019, January-A.
- David Skovmand & Jacob Bjerre Skov, 2022. "Decomposing LIBOR in Transition: Evidence from the Futures Markets," Papers 2201.06930, arXiv.org, revised Mar 2022.
- Backwell, Alex & Hayes, Joshua, 2022. "Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition," Journal of Banking & Finance, Elsevier, vol. 145(C).
- Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Papers 1801.04994, arXiv.org, revised Feb 2018.
- Andrea Macrina & David Skovmand, 2020. "Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks," Risks, MDPI, vol. 8(1), pages 1-18, March.
- Marek Rutkowski & Matthew Bickersteth, 2021. "Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization," Papers 2112.14033, arXiv.org.
- repec:uts:finphd:41 is not listed on IDEAS
- Claudio Fontana & Simone Pavarana & Wolfgang J. Runggaldier, 2023. "A stochastic control perspective on term structure models with roll-over risk," Papers 2304.04453, arXiv.org, revised Oct 2023.
- Karol Gellert & Erik Schlogl, 2021.
"Short Rate Dynamics: A Fed Funds and SOFR perspective,"
Papers
2101.04308, arXiv.org.
- Karol Gellert & Erik Schlogl, 2021. "Short Rate Dynamics: A Fed Funds and SOFR Perspective," Research Paper Series 420, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eric Jondeau & Benoit Mojon & Jean-Guillaume Sahuc, 2020. "Bank Funding Cost and Liquidity Supply Regimes," BIS Working Papers 854, Bank for International Settlements.
- Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019, January-A.
- Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Risks, MDPI, vol. 6(1), pages 1-39, March.
- Mesias Alfeus & Erik Schlögl, 2019. "On Spread Option Pricing Using Two-Dimensional Fourier Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-20, August.
- Mesias Alfeus & Erik Schlögl, 2018. "On Numerical Methods for Spread Options," Research Paper Series 388, Quantitative Finance Research Centre, University of Technology, Sydney.
- Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019. "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series 397, Quantitative Finance Research Centre, University of Technology, Sydney.
- Alan Brace & Karol Gellert & Erik Schlögl, 2024. "SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 936-985, June.
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More about this item
Keywords
Tenor swap; Basis; Frequency basis; Liquidity risk; Swap market; LIBOR/OIS spread;All these keywords.
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G1 - Financial Economics - - General Financial Markets
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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