A Lévy HJM multiple-curve model with application to CVA computation (Q4683048): Difference between revisions

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Latest revision as of 14:52, 16 July 2024

scientific article; zbMATH DE number 6939252
Language Label Description Also known as
English
A Lévy HJM multiple-curve model with application to CVA computation
scientific article; zbMATH DE number 6939252

    Statements

    A Lévy HJM multiple-curve model with application to CVA computation (English)
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    19 September 2018
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    interest rate derivative
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    multiple-curve term structure model
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    Lévy process
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    credit valuation adjustment (CVA)
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    funding
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