Term structure modeling for multiple curves with stochastic discontinuities

20 Dec 2019 Fontana Claudio Grbac Zorana Gümbel Sandrine Schmidt Thorsten

We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in correspondence to monetary policy meetings of the ECB show... (read more)

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