Term structure modeling with overnight rates beyond stochastic continuity
Year of publication: |
2024
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Authors: | Fontana, Claudio ; Grbac, Zorana ; Schmidt, Thorsten |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 34.2024, 1, p. 151-189
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Subject: | €stochastic discontinuities | affine processes | alternative risk-free rate | hedging | Libor reform | local risk-minimization | semimartingales | SOFR | SONIA | STR | Zinsstruktur | Yield curve | Hedging | Martingal | Martingale | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1111/mafi.12415 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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