Multi-curve Construction
From MaRDI portal
Publication:4689910
DOI10.1007/978-3-319-33446-2_11zbMath1398.91625OpenAlexW2557657569MaRDI QIDQ4689910
Publication date: 22 October 2018
Published in: Innovations in Derivatives Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_11
term structure modelsinterest rate curvescross-currency curvesinterest rate curve interpolationmulti-curve construction
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Cites Work
- A general HJM framework for multiple yield curve modelling
- A general version of the fundamental theorem of asset pricing
- Parsimonious HJM modelling for multiple yield curve dynamics
- Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration
- Interpolation Methods for Curve Construction
- MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING
- A Lévy HJM multiple-curve model with application to CVA computation
- Mathematical Finance