4 citations · 4 across the 4 of their papers we have counts for
3 papers · 1 filter
Dynamic Term Structure Models for SOFR Futures
Jacob Bjerre Skov, David Skovmand
The LIBOR rate is currently scheduled for discontinuation, and the replacement advocated by regulators in the US is the Secured Overnight Financing Rate (SOFR). The change has the…
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Stephane Crepey, Andrea Macrina, Tuyet Mai Nguyen +1
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and…
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…