6 citations · 12 across the 9 of their papers we have counts for
6 papers · 1 filter
Term structure modelling with overnight rates beyond stochastic continuity
Claudio Fontana, Zorana Grbac, Thorsten Schmidt
Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates…
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…
Multiple curve Lévy forward price model allowing for negative interest rates
Ernst Eberlein, Christoph Gerhart, Zorana Grbac
In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in pa…
A unified view of LIBOR models
Kathrin Glau, Zorana Grbac, Antonis Papapantoleon
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. W…
Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models
David Criens, Kathrin Glau, Zorana Grbac
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of se…
Affine LIBOR models with multiple curves: theory, examples and calibration
Zorana Grbac, Antonis Papapantoleon, John Schoenmakers +1
We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and posi…