A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch (Q320915): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G30 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G40 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / zbMATH DE Number: 6635768 / rank | |||
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basis swaps | |||
| Property / zbMATH Keywords: basis swaps / rank | |||
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HJM model | |||
| Property / zbMATH Keywords: HJM model / rank | |||
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credit crisis | |||
| Property / zbMATH Keywords: credit crisis / rank | |||
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Libor models | |||
| Property / zbMATH Keywords: Libor models / rank | |||
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multi-curve term structure modelling | |||
| Property / zbMATH Keywords: multi-curve term structure modelling / rank | |||
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Revision as of 01:56, 28 June 2023
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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