4 papers
Short Rate Dynamics: A Fed Funds and SOFR perspective
Karol Gellert, Erik Schlögl
The Secured Overnight Funding Rate (SOFR) is becoming the main Risk-Free Rate benchmark in US dollars, thus interest rate term structure models need to be updated to reflect the ke…
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
Mesias Alfeus, Martino Grasselli, Erik Schlögl
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework fo…
Model Risk Measurement under Wasserstein Distance
Yu Feng, Erik Schlögl
The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical motivation resulting f…
Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
Erik Schlögl
Models which postulate lognormal dynamics for interest rates which are compounded according to market conventions, such as forward LIBOR or forward swap rates, can be constructed i…