Parsimonious HJM modelling for multiple yield curve dynamics (Q2879021)

From MaRDI portal
Revision as of 09:55, 5 March 2024 by Import240304020342 (talk | contribs) (Set profile property.)
scientific article
Language Label Description Also known as
English
Parsimonious HJM modelling for multiple yield curve dynamics
scientific article

    Statements

    title
    Parsimonious HJM modelling for multiple yield curve dynamics (English)
    0 references
    author
    Nicola Moreni
    0 references
    Andrea Pallavicini
    0 references
    publication date
    5 September 2014
    0 references
    zbMATH DE Number
    6340762
    0 references
    zbMATH Keywords
    interest-rate model
    0 references
    HJM model
    0 references
    Libor rates
    0 references
    weighted Gaussian model
    0 references
    at-the-money swaption prices
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2879021&oldid=27320636"
    Powered by MediaWiki