We consider minimal variance hedging in a pure-jump multi-curve interest rate model. In the first part, we derive arithmetic multi-factor martingale representations for the spread, OIS and LIBOR rate which are bounded from below by a real-valued constant. In the second part, we investigate...

We present a new multi-factor short rate model which is bounded from below by a real-valued function of time. The mean-reverting short rate process is modeled by a sum of pure-jump Ornstein-Uhlenbeck processes such that the related bond price possesses an affine representation. We also provide...

We propose an innovative multi-curve model involving interest rates and (ordered) spreads which are modeled by arithmetic martingale processes being larger than some arbitrarily chosen constant. Under our mean-reverting pure-jump approach, we derive tractable martingale representations for the...

In this paper, we present an arithmetic short rate model based on generalized Langevin equations. The innovative feature of the model is that it accounts for memory effects in interest rate markets via the involved Langevin processes. In this setup, we provide a representation for the related...