Titlebook: New Methods in Fixed Income Modeling; Fixed Income Modelin Mehdi Mili,Reyes Samaniego Medina,Filippo di Pietr Book 2018 Springer Internatio

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Explicit Computation of the Post-crisis Spot LIBOR in a Jump-Diffusion Framework heterogeneous risk types, spanning from credit ones to liquidity ones. These abrupt changes in fundamentals, have produced the develop of significant spreads between the same interbank rate, e.g. the LIBOR rate, considered at different tenors. In the present chapter, we show how to explicitly compu

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An Overview of Post-crisis Term Structure Modelsnancial products as well as forecasting interest rates in economic scenario generators for market and counterparty credit risk management purposes. After introducing a general overview of the post-crisis markets environment we will provide insight into post-crisis modelling of term structures via sh

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A Comparison of Estimation Techniques for the Covariance Matrix in a Fixed-Income Frameworkion of the covariance matrix, we compared the Shrinkage (SH), the Nonlinear Shrinkage (NSH), the Minimum Covariance Determinant (MCD) and the Minimum Regularised Covariance Determinant (MRCD) estimators against the sample covariance matrix, here employed as a benchmark. The comparison was run in an

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The Term Structure Under Non-linearity Assumptions: New Methods in Time Seriesn one hand, the chapter discusses the main findings in the literature in the USA and the EMU and, on the other hand, analyses the linearity restrictions associated with the traditional approaches used in time series applications on term structure. The use of FCVAR represents a novel procedure to sol

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Affine Type Analysis for BESQ and CIR Processes with Applications to Mathematical Financeily of affine processes, according to specific dynamics for the dividend structure behind the market scenarios, aiming at deriving pricing formulas in individual markets as well as analytical solvable or numerical tractable, schemes for dividend processes in volatility stabilized markets.

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Sensitivity Analysis and Hedging in Stochastic String Modelsthe hedging of options with payoff functions homogeneous of degree one. Under the same framework, we use an exact multi-factor extension of Jamshidian (.) to find the sensitivities for swaptions and we prove that it cannot be applied to captions. We present a new approximate result for pricing optio

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Dynamic Linkages Across Country Yield Curves: The Effects of Global and Local Yield Curve Factors oncross and between yield curves and factors. We disentangle the latent global and local factors contained in country factors, based on the Diebold and Li (J Econometrics 130:337–364, .) parametrization of Nelson and Siegel’s (1987) three factor model and a quasi-maximum likelihood approach. The resul

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