Christoph Gerhart

University of Freiburg - Institut für Mathematische Stochastik

D-79104, Freiburg

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

126

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Arbitrage-Free Nelson-Siegel Model for Multiple Yield Curves

Mathematics and Financial Economics, 16, 239-266 (2022) .
Number of pages: 28 Posted: 16 Sep 2021 Last Revised: 22 Apr 2022
Riccardo Brignone, Christoph Gerhart and Eva Luetkebohmert
University of Freiburg, University of Freiburg - Institut für Mathematische Stochastik and University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN
Downloads 65 (486,019)

Abstract:

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affine processes, dynamic factor model, multiple term structures, Nelson-Siegel curve

Multiple Curve Lévy Forward Price Model Allowing for Negative Interest Rates

Number of pages: 26 Posted: 23 May 2018
Ernst Eberlein, Christoph Gerhart and Zorana Grbac
University of Freiburg, University of Freiburg - Institut für Mathematische Stochastik and Université Paris VII Denis Diderot
Downloads 60 (513,359)
Citation 3

Abstract:

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Multiple Curve Lévy Forward Price Model Allowing for Negative Interest Rates

Mathematical Finance, Vol. 30, Issue 1, pp. 167-195, 2020
Number of pages: 29 Posted: 29 May 2020
Ernst Eberlein, Christoph Gerhart and Zorana Grbac
University of Freiburg, University of Freiburg - Institut für Mathematische Stochastik and Université Paris VII Denis Diderot
Downloads 1 (979,947)

Abstract:

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multiple yield curves, forward price model, negative interest rates, time‐inhomogeneous Lévy processes, Libor‐OIS spread

3.

Empirical Analysis and Forecasting of Multiple Yield Curves

Posted: 10 Jan 2019 Last Revised: 01 Sep 2020
Christoph Gerhart and Eva Luetkebohmert
University of Freiburg - Institut für Mathematische Stochastik and University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN

Abstract:

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multiple term structures, principal component analysis, dynamic factor model, Nelson-Siegel curve, forecasting of yield curves