Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (Q3195114): Difference between revisions
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Revision as of 14:52, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration |
scientific article |
Statements
Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (English)
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21 October 2015
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multiple curve models
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Libor
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OIS
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basis spread
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affine Libor models
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caps
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swaptions
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basis swaptions
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calibration
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