[图书][B] Counterparty risk and funding: A tale of two puzzles

S Crépey, TR Bielecki, D Brigo - 2014 - taylorfrancis.com
Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty
Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial …

[图书][B] Interest rate modeling: post-crisis challenges and approaches

Z Grbac, WJ Runggaldier - 2015 - Springer
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 …

Term structure modelling for multiple curves with stochastic discontinuities

C Fontana, Z Grbac, S Gümbel, T Schmidt - Finance and Stochastics, 2020 - Springer
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 …

Affine LIBOR models with multiple curves: theory, examples and calibration

Z Grbac, A Papapantoleon, J Schoenmakers… - SIAM Journal on …, 2015 - SIAM
We introduce a multiple curve framework that combines tractable dynamics and semianalytic
pricing formulas with positive interest rates and basis spreads. Negative rates and positive …

A Lévy HJM multiple-curve model with application to CVA computation

S Crépey, Z Grbac, N Ngor, D Skovmand - Quantitative Finance, 2015 - Taylor & Francis
We consider the problem of valuation of interest rate derivatives in the post-crisis set-up. We
develop a multiple-curve model, set in the HJM framework and driven by a Lévy process. We …

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 …

[HTML][HTML] 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 …

Multiple yield curve modelling with CBI processes

C Fontana, A Gnoatto, G Szulda - Mathematics and Financial Economics, 2021 - Springer
We develop a modelling framework for multiple yield curves driven by continuous-state
branching processes with immigration (CBI processes). Exploiting the self-exciting behavior …

Rational multi-curve models with counterparty-risk valuation adjustments

S Crépey, A Macrina, TM Nguyen… - Quantitative …, 2016 - Taylor & Francis
We develop a multi-curve term structure set-up in which the modelling ingredients are
expressed by rational functionals of Markov processes. We calibrate to London Interbank …

[HTML][HTML] Predicting interest rate distributions using PCA & quantile regression

R Pimentel, M Risstad, S Westgaard - Digital Finance, 2022 - Springer
Principal component analysis (PCA) is well established as a powerful statistical technique in
the realm of yield curve modeling. PCA based term structure models typically provide …