A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch (Q320915): Difference between revisions
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Revision as of 23:58, 4 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch |
scientific article |
Statements
A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch (English)
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7 October 2016
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basis swaps
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HJM model
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credit crisis
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Libor models
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multi-curve term structure modelling
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