Risk-Free Rates

Alessandro Calvia, Marzia De Donno, Chiara Guardasoni, Simona Sanfelici “Short-rate models with stochastic discontinuities: A PDE approach”

Posted in: Articolo

Mag 21 2026
Abstract: With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (€STR) in Europe. These rates exhibit characteristics like ...more »