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Term structure modelling for multiple curves with stochastic discontinuities |
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| Authors: | Fontana,Claudio,Grbac,Zorana,G&# mbel,Sandrine,Schmidt,Thorsten |
| Affiliation: | Fontana,Claudio,Grbac,Zorana,Gümbel,Sandrine,Schmidt,Thorsten |
| Abstract: | Finance and Stochastics - We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate... |
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