We propose an affine term structure model that allows for tenor-dependence of yield curves andthus for different risk categories in interbank rates, an important feature of post-crisis interestrate markets. The model has a Nelson-Siegel factor loading structure and thus economicallywell...

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the...

This paper proposes new bounds on the prices of European-style swaptions for affine and quadratic interest rate models. These bounds are computable whenever the joint characteristic function of the state variables is known. In particular, our lower bound involves the computation of a one...

We put forward a constructive definition of electricity forward price curve with cross-sectional timescale encompassing hourly frequency upward. The curve is jointly consistent to both risk-neutral market information, as represented by base load and peak load futures quotes, and historical...