17 citations · 37 across the 22 of their papers we have counts for
5 papers · 1 filter
Term structure modeling for multiple curves with stochastic discontinuities
Claudio Fontana, Zorana Grbac, Sandrine Gümbel +1
We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as f…
Time-inhomogeneous polynomial processes
María Fernanda del Carmen Agoitia Hurtado, Thorsten Schmidt
Time homogeneous polynomial processes are Markov processes whose moments can be calculated easily through matrix exponentials. In this work, we develop a notion of time inhomogeneo…
Affine processes under parameter uncertainty
Tolulope Fadina, Ariel Neufeld, Thorsten Schmidt
We develop a one-dimensional notion of affine processes under parameter uncertainty, which we call non-linear affine processes. This is done as follows: given a set of parameters f…
Affine processes beyond stochastic continuity
Martin Keller-Ressel, Thorsten Schmidt, Robert Wardenga
In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predic…
Ambiguity in defaultable term structure models
Tolulope Fadina, Thorsten Schmidt
We introduce the concept of no-arbitrage in a credit risk market under ambiguity considering an intensity-based framework. We assume the default intensity is not exactly known but…