The Basis Goes Stochastic : A Jump-Diffusion Model for Financial Risk Applications

There are several pricing and risk model applications where the assumption of a deterministic LIBOR-OIS basis can lead to severe mispricing. By modeling such a basis using a jump-diffusion process, we show how stochastic basis can impact the valuation of specific deals such as zero-coupon swaps, as well as credit valuation adjustments and gap risk in particular. Explicit formulas are provided and numerical examples showcased

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Year of publication:	2016
Authors:	Li, Minqiang
Other Persons:	Mercurio, Fabio (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Portfolio-Management \| Portfolio selection \| Optionspreistheorie \| Option pricing theory \| Risiko \| Risk

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 25, 2016 erstellt
Other identifiers:	10.2139/ssrn.2827769 [DOI]
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G18 - Government Policy and Regulation ; C60 - Mathematical Methods and Programming. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012984693