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pro vyhledávání: '"Christoph Gerhart"'
Publikováno v:
Mathematics and Financial Economics. 16:239-266
We propose an affine term structure model that allows for tenor-dependence of yield curves and thus for different risk categories in interbank rates, an important feature of post-crisis interest rate markets. The model has a Nelson–Siegel factor lo
Publikováno v:
Applied Mathematical Finance. 27:396-421
In this paper, we develop an arbitrage-free multiple curve model through the specification of forward swap rates. Two sets of assets are chosen as fundamentals: OIS zero-coupon bonds and forward ra...
Publikováno v:
Mathematical Finance. 30:167-195
In this paper, we develop a framework for discretely compounding interest rates that 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
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Autor:
Ernst Eberlein, Christoph Gerhart
Publikováno v:
Quantitative Finance. 18:537-561
An advanced Heath–Jarrow–Morton forward rate model driven by time-inhomogeneous Levy processes is presented which is able to handle the recent development to multiple curves and negative interest r...
Publikováno v:
Contributions to Statistics ISBN: 9783030260354
In this paper, we develop robust methods for forecasting term structures of interest rates. We implement a deep long short-term memory (LSTM) neural network based on keras. Our input data is based on the bootstrapped bid, mid and ask multiple (tenor-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2bc422c2059eed47145e10f113e7e7f4
https://doi.org/10.1007/978-3-030-26036-1_13
https://doi.org/10.1007/978-3-030-26036-1_13
Autor:
Christoph Gerhart, Eva Lütkebohmert
Publikováno v:
SSRN Electronic Journal.
In this paper we develop new dynamic factor models to forecast multiple yield curves. Our methodology is based on a thorough empirical study of daily tenor-dependent term structures over the time period 2005-2017 which reveals important cross-tenor d
Publikováno v:
SSRN Electronic Journal.
In this paper, we develop a framework for discretely compounding interest rates that 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
Autor:
Dietrich, Christoph Gerhart.
Techn. Hochsch., Habil--Aachen, 2004.
Beitr. teilw. dt. teilw. engl. Enth. 6 Sonderabdr. aus verschiedenen Zeitschr.
Beitr. teilw. dt. teilw. engl. Enth. 6 Sonderabdr. aus verschiedenen Zeitschr.
Autor:
Dietrich, Christoph Gerhart.
Proefschrift Universiteit van Amsterdam.
Met lit. opg. - Met samenvatting in het Nederlands.
Met lit. opg. - Met samenvatting in het Nederlands.
Externí odkaz:
http://dare.uva.nl/document/69573