Zobrazeno 1 - 10
of 53
pro vyhledávání: '"Skovmand, David"'
Autor:
Skovmand, David, Skov, Jacob Bjerre
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of
Externí odkaz:
http://arxiv.org/abs/2201.06930
Autor:
Skov, Jacob Bjerre, Skovmand, David
The LIBOR rate is currently scheduled for discontinuation, and the replacement advocated by regulators in the US is the Secured Overnight Financing Rate (SOFR). The change has the potential to disrupt the $200 trillion market of derivatives and debt
Externí odkaz:
http://arxiv.org/abs/2103.11180
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The
Externí odkaz:
http://arxiv.org/abs/1801.08804
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is suffic
Externí odkaz:
http://arxiv.org/abs/1502.07397
Publikováno v:
SIAM Journal on Financial Mathematics 6, 984-1025, 2015
We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The dynamics
Externí odkaz:
http://arxiv.org/abs/1405.2450
Autor:
Skov, Jacob Bjerre1 (AUTHOR) jbs@math.ku.dk, Skovmand, David1 (AUTHOR)
Publikováno v:
Quantitative Finance. Jun2023, Vol. 23 Issue 6, p959-978. 20p.
Publikováno v:
Journal of Computational Finance 2012, Vol. 15, No. 4, 3-44
The LIBOR market model is very popular for pricing interest rate derivatives, but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the complexity of the drift term is growing exponentially fast (as a func
Externí odkaz:
http://arxiv.org/abs/1106.0866
The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to solve the stochastic differential equations of the successive LIBOR rates
Externí odkaz:
http://arxiv.org/abs/1007.3362
Publikováno v:
In M.R. Guarracino et al. (Eds.), Euro-Par 2010 Workshops, LNCS 6586, pp. 463-470, Springer, 2011
The aim of this work is to provide fast and accurate approximation schemes for the Monte-Carlo pricing of derivatives in the L\'evy LIBOR model of Eberlein and \"Ozkan (2005). Standard methods can be applied to solve the stochastic differential equat
Externí odkaz:
http://arxiv.org/abs/1006.3340
Publikováno v:
International Journal of Theoretical & Applied Finance; Mar2024, Vol. 27 Issue 2, p1-34, 34p