NDLI: A general HJM framework for multiple yield curve modelling

Content Provider	Springer Nature Link
Author	Cuchiero, Christa Fontana, Claudio Gatto, Alessandro
Copyright Year	2016
Abstract	We propose a general framework for modelling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads between FRA rates and simply compounded OIS risk-free forward rates. We derive an HJM drift and consistency condition ensuring absence of arbitrage and, in addition, we show how to construct models such that multiplicative spreads are greater than one and ordered with respect to the tenor’s length. When the driving semimartingale is an affine process, we obtain a flexible and tractable Markovian structure. Finally, we show that the proposed framework allows unifying and extending several recent approaches to multiple yield curve modelling.
Ending Page	320
Page Count	54
Starting Page	267
File Format	PDF
ISSN	09492984
e-ISSN	14321122
Journal	Finance and Stochastics
Issue Number	2
Volume Number	20
Language	English
Publisher	Springer Berlin Heidelberg
Publisher Date	2016-02-19
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Finance Economic Theory/Quantitative Economics/Mathematical Methods Probability Theory and Stochastic Processes Quantitative Finance HJM model Affine processes Forward rate agreement Multiple yield curves Multiplicative spreads Statistics for Business/Economics/Mathematical Finance/Insurance Interest rates (stochastic models) Stochastic models Semimartingale Price theory and market structure Libor rate
Content Type	Text
Resource Type	Article
Subject	Finance Statistics and Probability Statistics, Probability and Uncertainty

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