We test seven term structure models in the Heath-Jarrow-Morton (1992) class in order to find the best representation of the Libor rate in interest rate markets after the credit crunch of 2007. The Libor rate is considered as a risky rate, subject to the credit risk of a generic counterparty...

A great deal of recent literature discusses the major anomalies that have appeared in the interest rate market following the credit crunch in August 2007. There were major consequences with regard to the development of spreads between quantities that had remained the same until then. In...

Seasonality is an important topic in electricity markets, as both supply and demand are dependent on the time of the year. Clearly the level of prices shows a seasonal behaviour, but not only. Also the price fluctuations are typically seasonal. In this paper, we study empirically the implied...

We present a new term-structure model for commodity futures prices based on Trolle-Schwartz (2009), which we extend by incorporating seasonal stochastic volatility represented with of two different sinusoidal expressions. We obtain an analytical representation of the characteristic function of...