# Multiple yield curve modelling with CBI processes

@article{Fontana2019MultipleYC, title={Multiple yield curve modelling with CBI processes}, author={Claudio Fontana and Alessandro Gnoatto and Guillaume Szulda}, journal={Mathematics and Financial Economics}, year={2019}, pages={1-32} }

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…

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