activity
20102025
most citedInformation, no-arbitrage and completeness for asset price models with a change point

6 citations · 12 across the 9 of their papers we have counts for

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Showing 2014Show all

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q-fin.MF2014

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…