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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10 Citations
Background Citations
2
Methods Citations
3
Results Citations
1

10 Citations

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