Multiple yield curve modelling with CBI processes

A general HJM framework for multiple yield curve modelling

We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads between (normalized) FRA rates and simply compounded OIS risk-free forward rates. We derive an HJM drift and consistency condition ensuring absence of arbitrage ...

Shrinkage Curve: Experimental Study and Modelling

In order to study the shrinkage process of clayey soil, we perform a modified laboratory test allowing to measure simultaneously and continuously the vertical displacement and the weight of natural state specimen. The experiment was conducted on undisturbed clayey specimen. Using the experimental results, and on the basis of the existing relation between the soil water content and its structura...

Consistent Yield Curve Prediction

We present an arbitrage-free, non-parametric yield curve prediction model which takes the full discretized yield curve data as input state variable. The absence of arbitrage is a particular important model feature for prediction models in case of highly correlated data as, e.g., for interest rates. Furthermore, the model structure allows to separate constructing the daily yield curve from estim...

Cbi + +

We have begun implementing support for C++ programs for the Cooperative Bug Isolation Project (CBI). The Cooperative Bug Isolation Project (CBI) is a system that assists developers in locating bugs in their software by distributing instrumented versions of the developers’ software to end users and collecting feedback data produced by the instrumented software. We discuss our implementation of C...

Cbi Student