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Multiple curve Lévy forward price model allowing for negative interest rates

  • Published:2019-03-14 Issue:1 Volume:30 Page:167-195
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Eberlein Ernst1,Gerhart Christoph1,Grbac Zorana2

Affiliation:

1. Department of Mathematical StochasticsUniversity of FreiburgFreiburg Germany

2. Laboratoire de Probabilités, Statistique et ModélisationUniversité Paris DiderotParis France

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting;SSRN Electronic Journal;2023

2. Inflation expectations: Australian consumer survey data versus the bond market;Journal of Economic Behavior & Organization;2022-11

3. Multiple yield curve modelling with CBI processes;Mathematics and Financial Economics;2021-01-09

4. Empirical analysis and forecasting of multiple yield curves;Insurance: Mathematics and Economics;2020-11

5. INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES;International Journal of Theoretical and Applied Finance;2020-09
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