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

MoreLess

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

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

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