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Mathematical Finance

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Mathematical Finance

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Research Frontiers in Multi-Curve Interest Rate Modeling

Construction of arbitrage-free term structure models incorporating multiple discount curves and basis spreads post-financial crisis.

Basis Risk in Cross-Currency Swap Networks
Machine Learning Arbitrage Detection Across Curve Discontinuities
Stochastic Volatility at the Term Structure Boundary
Collateral Dynamics and Curve Fragmentation
Real-Time Calibration Under Asynchronous Market Microstructure
Negative Rates and the Convexity Paradox
Tenor-Specific Liquidity Premia in Systemic Stress
Neural Networks for Non-Arbitrage Curve Construction
Central Bank Intervention Spillovers Across Yield Curves
Information Geometry in Multi-Dimensional Rate Models

All Mathematical Finance PhD categories