Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model (Q4689909)

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scientific article; zbMATH DE number 6959388
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Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model
scientific article; zbMATH DE number 6959388

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    Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model (English)
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    22 October 2018
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    multi-curve models
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    short rate models
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    short rate spreads
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    Gaussian exponentially quadratic models
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    pricing of linear and optional interest rate derivatives
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    Riccati equations
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    adjustment factors
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