In this note we consider a classical term structure model framework, that is, a HJM framework on a time-discrete tenor, like the LIBOR market model, using a sequence of tenor discretization, where the tenors are valid for a specific simulation time interval.The setup then allows to model dynamic...

We consider the valuation and risk management of derivatives on defaultable assets such as bonds taking into account funding (FVA), cash collateral, underlying default, counterparty default (CVA) and default correlation using joint default poisson process. The framework can be considered as an...

In this note we discuss the definition, construction, interpolation and application of curves.We will discuss discount curves, a tool for the valuation of deterministic cash-flows and forward curves, a tool for the valuation of linear cash-flows of (possibly) stochastic indices.The aim of this...

In this paper we discuss interest rate curve interpolation methods and their properties in the context of financial applications. We review the modern (multi-curve) theory of interest rate curve modeling, taking into account collateralization. Building on this solid foundation we reconsider...

We consider a classical discrete term-structure model for the joint modelling of risk-free and defaultable bonds (also known under its historical name, defaultable LIBOR market model). We model the risk-free forward rate Lᵢ and the defaultable forward-rate Lᵈᵢ.In the usual specification...