A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors


We construct a stochastic model framework for the term structure of interest rates in which a frequency basisĀ  arises endogenously. This roll-over risk consists of two components, a credit risk component due to the... [ view full abstract ]


  1. Martino Grasselli (University of Padua and DVCR Paris)
  2. Mesias Alfeus (University of Technology Sydney)
  3. Erik Schlogl (University of Technology Sydney)

Topic Areas

Interest Rates , Liquidity , Term-Structure Models


TU-A-EM » HJM models and Variations (11:30 - Tuesday, 17th July, Emmet)

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