Related papers: Multiple yield curve modelling with CBI processes
We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L\'evy processes. The proposed framework captures the typical risk characteristics of FX markets and is coherent with the symmetries of…
We introduce a class of interest rate models, called the $\alpha$-CIR model, which gives a natural extension of the standard CIR model by adopting the $\alpha$-stable L{\'e}vy process and preserving the branching property. This model allows…
This manuscript introduces deep learning models that simultaneously describe the dynamics of several yield curves. We aim to learn the dependence structure among the different yield curves induced by the globalization of financial markets…
In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the…
We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The…
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe…
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al (2011), and the related collateralized…
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 HJM modeling, can be consolidated. We model a numeraire process and…
We study the estimation of two-type continuous-state branching processes with immigration (CBI-processes). The ergodicity of the processes is proved. We also establish the strong consistency and central limit theorems of the conditional…
We introduce and study the class of CBI-time-changed L\'evy processes (CBITCL), obtained by time-changing a L\'evy process with respect to an integrated continuous-state branching process with immigration (CBI). We characterize CBITCL…
We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for…
We develop and apply an approach for analyzing multi-curve data where each curve is driven by a latent state process. The state at any particular point determines a smooth function, forcing the individual curve to switch from one function…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are non-negative, and the basic requirement from mathematical…
In this paper, we study continuous-state interacting multi-type branching processes with immigration (CIMBI processes), where inter-specific interactions -- whether competitive, cooperative, or of a mixed type -- are proportional to the…
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 economy that is segmented into distinct markets, each…
The paper discusses multivariate self- and cross-exciting processes. We define a class of multivariate point processes via their corresponding stochastic intensity processes that are driven by stochastic jumps. Essentially, there is a jump…
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and…
We present an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable. We believe that absence of arbitrage is an important model feature in case of highly correlated data,…
We study the distributional properties of jumps of multi-type continuous state and continuous time branching processes with immigration (multi-type CBI processes). We derive an expression for the distribution function of the first jump time…