A stochastic spread HJM model with stochastic volatility


We present an interest rate model incorporating stochasticity on spreadson the OIS rate, employing a Trolle--Schwartz model for the OIS rate and aTrolle--Schwartz commodity model for the spreads, both facilitating stochastic... [ view full abstract ]


  1. Karl Hofmann (Deloitte GmbH)
  2. Moritz Geelhaar (TU Berlin)
  3. Antonis Papapantoleon (National Technical University of Athens)
  4. Patrick Büchel (Commerzbank AG)

Topic Areas

Interest Rates , Stochastic Volatility , Term-Structure Models


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

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