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- W4288026706 abstract "We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavior of CBI jump processes, this approach can reproduce the relevant empirical features of spreads between different interbank rates. In particular, we introduce multi-curve models driven by a flow of tempered alpha-stable CBI processes. Such models are especially parsimonious and tractable, and can generate contagion effects among different spreads. We provide a complete analytical framework, including a detailed study of discounted exponential moments of CBI processes. The proposed approach allows for explicit valuation formulae for all linear interest rate derivatives and semi-closed formulae for non-linear derivatives via Fourier techniques and quantization. We show that a simple specification of the model can be successfully calibrated to market data." @default.
- W4288026706 created "2022-07-26" @default.
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- W4288026706 date "2019-11-07" @default.
- W4288026706 modified "2023-10-18" @default.
- W4288026706 title "Multiple yield curve modelling with CBI processes" @default.
- W4288026706 doi "https://doi.org/10.48550/arxiv.1911.02906" @default.
- W4288026706 hasPublicationYear "2019" @default.
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