Term structure modeling with overnight rates beyond stochastic continuity
Claudio Fontana, Zorana Grbac, Thorsten Schmidt
| Year of publication: |
2024
|
|---|---|
| Authors: | Fontana, Claudio ; Grbac, Zorana ; Schmidt, Thorsten |
| Subject: | €stochastic discontinuities | affine processes | alternative risk-free rate | hedging | Libor reform | local risk-minimization | semimartingales | SOFR | SONIA | STR | Zinsstruktur | Yield curve | Hedging | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Optionspreistheorie | Option pricing theory |
freely available
| Type of publication: | Article |
|---|---|
| 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 |
Persistent link: https://www.econbiz.de/10014471210