A flexible spot multiple-curve model

References

• Avellaneda, M. and Newman, J., Positive interest rates and non-linear term structure models. CIMS-NYU Working Paper, Courant Institute of Mathematical Sciences, New York University, 1998.
   Google Scholar
• Bianchetti, M., Two curves, one price. Risk, 2010, 8, 74–80.
   Google Scholar
• Bielecki, T.R. and Rutkowski, M., Multiple ratings model of defaultable term structure. Math. Finance, 2000, 10(2), 125–139.
   Web of Science ®Google Scholar
• Björk, T., Di Masi, G., Kabanov, Y. and Runggaldier, W., Towards a general theory of bond markets. Finance Stoch., 1997, 1(2),141–174.
   Google Scholar
• Brace, A., Gatarek, D. and Musiela, M., The market model of interest rate dynamics. Math. Finance, 1997, 7(2), 127–155.
   Web of Science ®Google Scholar
• Brigo, D. and Mercurio, F., A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models. Finance Stoch., 2001, 5(3), 369–387.
   Google Scholar
• Bru, M.-F., Wishart processes. J. Theor. Probab., 1991, 4(4), 725–751.
   Google Scholar
• Carmona, R. and Nadtochiy, S., Local volatility dynamic models. Finance Stoch., 2009, 13(1), 1–48.
   Web of Science ®Google Scholar
• Crépey, S., Grbac, Z. and Nguyen, H.-N., A multiple-curve HJM model of interbank risk. Math. Financ. Econ., 2012, 6(3),155–190.
   Google Scholar
• Cuchiero, C., Filipović, D., Mayerhofer, E. and Teichmann, J., Affine processes on positive semidefinite matrices. Ann. Appl. Probab., 2011, 21(2), 397–463.
   Web of Science ®Google Scholar
• Cuchiero, C., Fontana, C. and Gnoatto, A., A general HJM framework for multiple yield curve modeling. Forthcoming 2014. Available online at: http://arxiv.org/abs/1406.4301.
   Google Scholar
• Da Fonseca, J., Grasselli, M. and Tebaldi, C., Option pricing when correlations are stochastic: An analytical framework. Rev. Derivatives Res., 2007, 10(2), 151–180.
   Google Scholar
• Da Fonseca, J., Grasselli, M. and Tebaldi, C., A multifactor volatility Heston model. Quant. Finance, 2008, 8(6), 591–604.
   Web of Science ®Google Scholar
• Dai, Q. and Singleton, K.J., Specification analysis of affine term structure models. J. Finance, 2000, 55(5), 1943–1978.
   Web of Science ®Google Scholar
• Duffie, D., Filipović, D. and Schachermayer, W., Affine processes and applications in finance. Ann. Appl. Probab., 2003, 13(3), 984–1053.
   Web of Science ®Google Scholar
• Duffie, Darrell and Kan, Rui, A yield-factor model of interest rates. Math. Finance, 1996, 6(4), 379–406.
   Google Scholar
• Duffie, D., Pan, J. and Singleton, K., Transform analysis and asset pricing for affine jump-diffusions. Econometrica, 2000, 68(6), 1343–1376.
   Web of Science ®Google Scholar
• Dybvig, P.H., Bond and bond option pricing based on the current term structure. In Mathematics of Derivative Securities edited by M.A.H. Dempster and S.R. Pliska, pp. 271–293, 1997 (Cambridge University Press: Cambridge).
   Google Scholar
• Filipović, D. and Trolle, A.B., The term structure of interbank risk. J. Financ. Econ., 2013, 109(3), 707–733.
   Web of Science ®Google Scholar
• Gourieroux, C. and Sufana, R., Wishart quadratic term structure models. Working paper, 2003. Available online SSRN at: https://protect-us.mimecast.com/s/Md69B0u5ExbDtwyear=2003.
   Google Scholar
• Gourieroux, C. and Sufana, R., Derivative pricing with wishart multivariate stochastic volatility. J. Bus. Econ. Stat., 2005, 2004(October), 1–44.
   Google Scholar
• Grasselli, M. and Tebaldi, C., Solvable affine term structure models. Math. Finance, 2008, 18(1), 135–153.
   Web of Science ®Google Scholar
• Grbac, Z., Papapantoleon, A., Schoenmakers, J., and Skovmand, D., Affine Libor models with multiple curves: Theory, examples and calibration. Forthcoming 2014.
   Google Scholar
• Hull, J. and White, A., Pricing interest-rate-derivatives securities. Rev. Financ. Stud., 1990, 3(4), 573–592.
   Web of Science ®Google Scholar
• Jamshidian, F., Libor and swap market models and measures. Finance Stoch., 1997, 1(4), 293–330.
   Google Scholar
• Keller-Ressel, M. and Mayerhofer, E., Exponential moments of affine processes. Ann. Appl. Probab., 2015, 25, 714–752.
   Web of Science ®Google Scholar
• Keller-Ressel, M., Papapantoleon, A. and Teichmann, J., The affine Libor models. Math. Finance, 2013, 23(4), 627–658.
   Web of Science ®Google Scholar
• Kenyon, C., Post-shock short-rate pricing. Risk, 2010, 11, 83–87.
   Google Scholar
• Kenyon, C., Short rate models with stochastic basis and smile. In Interest Rate Modelling after the Financial Crisis, edited by M. Morini and M. Bianchetti, 2013 (Risk Books: London).
   Google Scholar
• Kijima, M., Tanaka, K. and Wong, T., A multi-quality model of interest rates. Quant. Finance, 2009, 9(2), 133–145.
   Web of Science ®Google Scholar
• Mercurio, F., Libor market models with stochastic basis. Bloomberg Education and Quantitative Research Paper No. 2010–05-FRONTIERS, 2010a. Available online at: https://protect-us.mimecast.com/s/O578BaF7Jw8vte. doi:10.2139/ssrn.1563685.
   Google Scholar
• Mercurio, F., Modern Libor market models: Using different curves for projecting rates and for discounting. Int. J. Theor. Appl. Finance, 2010b, 13(1), 113–137.
   Google Scholar
• Mercurio, F. and Xie, Z., The basis goes stochastic. Risk, 2012, 12, 78–83.
   Google Scholar
• Morini, M., Solving the puzzle in the interest rate market. Working paper, 2009. Available online at: https://protect-us.mimecast.com/s/9X7eBDUadlQbtZ. doi:10.2139/ssrn.1506046.
   Google Scholar
• Morini, M., Solving the puzzle in the interest rate market. In Interest Rate Modelling after the Financial Crisis, edited by M. Morini and M. Bianchetti, 2013 (Risk Books: London).
   Google Scholar
• Morini, M. and Bianchetti, M., Interest Rate Modelling after the Financial Crisis, 2013 (Risk Books: London).
   Google Scholar
• Morino, L. and Runggaldier, W., On multicurve models for the term structure. In Nonlinear Economic Dynamics and Financial Modelling, edited by R. Dieci, X.Z. He and C. Hommes, pp. 275–290, 2014 (Springer: Berlin).
   Google Scholar
• Rutkowski, M., Models of forward Libor and swap rates. Appl. Math. Finance, 1999, 6(1), 29–60.
   Google Scholar
• Scott, L., The valuation of interest rate derivatives in a multi-factor term-structure model with deterministic components. Working Paper, University of Georgia, 1995.
   Google Scholar