78 citations · 85 across the 10 of their papers we have counts for
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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.MF2015
On the Existence of Martingale Measures in Jump Diffusion Market Models
Jacopo Mancin, Wolfgang J. Runggaldier
In the context of jump-diffusion market models we construct examples that satisfy the weaker no-arbitrage condition of NA1 (NUPBR), but not NFLVR. We show that in these examples th…