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26 records from EconBiz based on author Name
1. Term structure modeling with overnight rates beyond stochastic continuity
Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten;2024
Type: Konferenzbeitrag; Conference paper; Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
2. Term Structure Modelling With Overnight Rates Beyond Stochastic Continuity
abstractIn the current reform of interest rate benchmarks, a central role is played by risk-free rates (RFRs), such as SOFR (secured overnight financing rate) in the US. A key feature of RFRs is the presence of jumps and spikes at periodic time intervals as a result of regulatory and liquidity constraints. This corresponds to stochastic discontinuities (i.e., jumps occurring at predetermined dates) in the dynamics of RFRs. In this work, we propose a general modeling framework where RFRs and term rates can have stochastic discontinuities and characterize absence of arbitrage in an extended HJM setup. When the term rate is generated by the RFR itself, we show that it solves a BSDE, whose driver is determined by the HJM drift restrictions. In general, this BSDE may admit multiple solutions and we provide sufficient conditions ensuring uniqueness. We develop a tractable specification driven by affine semimartingales, also extending the classical short rate approach to the case of stochastic discontinuities. In this context, we show that a simple specification allows to capture stylized facts of the jump behavior of overnight rates. In a Gaussian setting, we provide explicit valuation formulas for bonds and caplets. Finally, we study hedging in the sense of local risk-minimization when the underlying term structures have stochastic discontinuities
Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten;2022
Availability: Link Link
3. Term structure modelling for multiple curves with stochastic discontinuities
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten;2020
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 11 (based on OpenCitations)
4. Multiple Curve Lévy Forward Price Model Allowing for Negative Interest Rates
abstractIn this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the classical as well as the Lévy Libor market model, it allows in a natural way for negative interest rates and has superb calibration properties even in the presence of extremely low rates. Moreover, the measure changes along the tenor structure are simplified significantly. These properties make it an excellent base for a post-crisis multiple curve setup. Two variants for multiple curve constructions are discussed. Time-inhomogeneous Lévy processes are used as driving processes. An explicit formula for the valuation of caps is derived using Fourier transform techniques. Based on the valuation formula, we calibrate the two model variants to market data
Eberlein, Ernst; Gerhart, Christoph; Grbac, Zorana;2018
Availability: Link Link
Citations: 2 (based on OpenCitations)
5. Martingale property of exponential semimartingales : a note on explicit conditions and applications to asset price and Libor models
Criens, David; Glau, Kathrin; Grbac, Zorana;2017
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
6. Derivative Pricing for a Multi-Curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model
abstractThe recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the short rate itself, we introduce short rate spreads. In particular, we consider a Gaussian factor model where the short rate and the spreads are second order polynomials of Gaussian factor processes. This leads to an exponentially quadratic model class that is less well known than the exponentially affine class. In the latter class the factors enter linearly and for positivity one considers square root factor processes. While the square root factors in the affine class have more involved distributions, in the quadratic class the factors remain Gaussian and this leads to various advantages, in particular for derivative pricing. After some preliminaries on martingale modeling in the multi-curve setup, we concentrate on pricing of linear and optional derivatives. For linear derivatives, we exhibit an adjustment factor that allows one to pass from pre-crisis single curve values to the corresponding post-crisis multi-curve values
Grbac, Zorana; Laura, Meneghello; Runggaldier, Wolfgang J.;2016
Availability: Link Link
7. Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation
Glau, Kathrin; Grbac, Zorana; Scherer, Matthias; Zagst, Rudi;2016
Type: Konferenzschrift; Conference proceedings; Sammelwerk; Collection of articles of several authors;
Availability: Link
Citations: 6 (based on OpenCitations)
8. Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
abstractThis book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: "Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk"; Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.
Glau, Kathrin; Grbac, Zorana; Scherer, Matthias; Zagst, Rudi;2016
Type: Konferenzschrift; Conference proceedings; Sammelwerk; Collection of articles of several authors;
Availability:
Link Link Citations: 6 (based on OpenCitations)
9. A unified view of LIBOR models
Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis;2016
Type: Konferenzbeitrag; Conference paper; Aufsatz im Buch; Book section;
Availability: Link
Citations: 3 (based on OpenCitations)
10. Approximate option pricing in the Lévy Libor model
Grbac, Zorana; Krief, David; Tankov, Peter;2016
Type: Konferenzbeitrag; Conference paper; Aufsatz im Buch; Book section;
Availability: Link