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Showing 2015Show all
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stat.ME2015
Bi-log-concave distribution functions
Lutz Duembgen, Petro Kolesnyk, Ralf A. Wilke
Nonparametric statistics for distribution functions F or densities f=F' under qualitative shape constraints provides an interesting alternative to classical parametric or entirely…
q-fin.MF2015
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Stephane Crepey, Andrea Macrina, Tuyet Mai Nguyen +1
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and…