Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (Q3195114): Difference between revisions

@@ Property / author @@
-John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
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@@ Property / author @@
+John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
+Normal rank
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+MaRDI publication profile
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+.2450
@@ Property / arXiv ID: 1405.2450 / rank @@
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+Credit risk: Modelling, valuation and hedging
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+The Market Model of Interest Rate Dynamics
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+Affine processes and applications in finance
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+LIBOR and swap market models and measures
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+THE AFFINE LIBOR MODELS
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+A multi-quality model of interest rates
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+MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING
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+Parsimonious HJM modelling for multiple yield curve dynamics
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+Martingale methods in financial modelling.
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+THE MULTI-CURVE POTENTIAL MODEL
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+Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
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+PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
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+PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
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@@ links / mardi / name / links / mardi / name @@
+Publication:3195114