78 citations · 85 across the 10 of their papers we have counts for
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q-fin.PR2023★ 3 cited
A stochastic control perspective on term structure models with roll-over risk
Claudio Fontana, Simone Pavarana, Wolfgang J. Runggaldier
In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence…
q-fin.PR2015
Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
Zorana Grbac, Laura Meneghello, Wolfgang J. Runggaldier
The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the sho…
q-fin.PR2013
A Systematic Approach to Constructing Market Models With Arbitrage
Johannes Ruf, Wolfgang Runggaldier
This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.