A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch (Q320915): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G30
@@ Property / Mathematics Subject Classification ID: 91G30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 91G40 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6635768
@@ Property / zbMATH DE Number: 6635768 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+basis swaps
@@ Property / zbMATH Keywords: basis swaps / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+HJM model
@@ Property / zbMATH Keywords: HJM model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+credit crisis
@@ Property / zbMATH Keywords: credit crisis / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Libor models
@@ Property / zbMATH Keywords: Libor models / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multi-curve term structure modelling
@@ Property / zbMATH Keywords: multi-curve term structure modelling / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2015.08.031
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@@ Property / OpenAlex ID @@
+W1906628425
@@ Property / OpenAlex ID: W1906628425 / rank @@
+Normal rank
@@ Property / cites work @@
+Multiple Ratings Model of Defaultable Term Structure
+Normal rank
@@ Property / cites work @@
+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
+Normal rank
@@ Property / cites work @@
+Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
+Normal rank
@@ Property / cites work @@
+CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+RATING BASED LÉVY LIBOR MODEL
@@ Property / cites work: RATING BASED LÉVY LIBOR MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:320915