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Alternative Defaultable Term Structure Models

Bruti-Liberati, Nicola - 2012

The objective of this paper is to consider defaultable term structure models in a general setting beyond standard risk-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives are priced under the real-world probability measure. Therefore, the...

Persistent link: https://www.econbiz.de/10013098072

Term Structure Modeling of SOFR : Evaluating the Importance of Scheduled Jumps

Schlögl, Erik; Skov, Jacob Bjerre; Skovmand, David - 2023

As interest rate benchmarks move from LIBOR to overnight Risk-Free Rates (RFR), it has become increasingly important for models to accurately capture the interest rate dynamics at the overnight tenor. Overnight rates closely track central bank policy rate decisions resulting, in highly...

Persistent link: https://www.econbiz.de/10014350857

Pricing of Long-Dated Commodity Derivatives : Do Stochastic Interest Rates Matter?

Cheng, Benjamin - 2020

Does modelling stochastic interest rates, beyond stochastic volatility, improve pricing performanceon long-dated commodity derivatives? To answer this question, we consider futuresprice models for commodity derivatives that allow for stochastic volatility and stochastic interestrates and a...

Persistent link: https://www.econbiz.de/10012855761

Calibrating a Market Model to Commodity and Interest Rate Risk

Karlsson, Patrik - 2016

volatility surfaces of commodity and interest rate options. Since liquid market prices are only available for options on … interest rates and commodity prices (cross-correlation). When calibrating to options on forwards (rather than futures), the … fitting of cross-correlation preserves the (separate) calibration in the two markets (interest rate and commodity options …

Persistent link: https://www.econbiz.de/10012993132

A Consistent Framework for Modelling Basis Spreads in Tenor Swaps

Chang, Yang - 2015

The phenomenon of the frequency basis (i.e. a spread applied to one leg of a swap to exchange one floating interest rate for another of a di fferent tenor in the same currency) contradicts textbook no-arbitrage conditions and has become an important feature of interest rate markets since the...

Persistent link: https://www.econbiz.de/10013033643

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

Alfeus, Mesias - 2018

Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency basis (i.e. a spread applied to one leg of a swap to...

Persistent link: https://www.econbiz.de/10012933934

A Hybrid Commodity and Interest Rate Market Model

Pilz, Kay F. - 2009

options on commodity futures, rather than forwards, thus the difference between forward and futures prices must be explicitly … data for interest options, commodity options and historically estimated correlations between interest rates and commodity … options …

Persistent link: https://www.econbiz.de/10013153274

SOFR Term Structure Dynamics - Discontinuous Short Rates and Stochastic Volatility Forward Rates

Brace, Alan; Gellert, Karol; Schlögl, Erik - 2022

these features. Calibrating to prices for options on SOFR futures, we achieve a good fit to the market across available …

Persistent link: https://www.econbiz.de/10014236218

Calibration of the Multi-Currency LIBOR Market Model

Pilz, Kay F. - 2011

-the-money caps, swaptions and FX options. By exploiting the fact that multivariate normal distributions are invariant under …

Persistent link: https://www.econbiz.de/10013131311