Sebastian Schlenkrich

d-fine GmbH

An der Hauptwache 7

Frankfurt, 60313

Germany

SCHOLARLY PAPERS

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Scholarly Papers (4)

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1.

Multi-Curve Pricing of Non-Standard Tenor Vanilla Options

Number of pages: 23 Posted: 25 Nov 2015
Sebastian Schlenkrich and Irina Ursachi
d-fine GmbH and d-fine GmbH
Downloads 454 (88,865)

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interest rate model, volatility smile, multi-curve pricing, correlation, tenor basis spread

2.

Choosing the Right Spread

Number of pages: 11 Posted: 06 Mar 2014
Sebastian Schlenkrich and André Miemiec
d-fine GmbH and FRAME Consulting GmbH
Downloads 430 (94,609)

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interest rate model, multi-curve modelling, tenor and funding basis spread, Libor, OIS, cross-currency

3.

Multi-Curve Convexity

Number of pages: 16 Posted: 01 Oct 2015
Sebastian Schlenkrich
d-fine GmbH
Downloads 371 (112,045)
Citation 1

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CMS replication, multi-curve pricing, tenor and funding basis

4.

Konsistente Stresstests in quotierenden Modellen (Consistent Stress Testing and Plain Vanilla Models)

Number of pages: 12 Posted: 23 Jun 2016 Last Revised: 18 Jul 2016
André Miemiec and Sebastian Schlenkrich
FRAME Consulting GmbH and d-fine GmbH
Downloads 114 (328,222)

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Negativ interest rates, Black, Bachelier, interest rate risk, consistent stress tests