Parsimonious HJM modelling for multiple yield curve dynamics (Q2879021)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Parsimonious HJM modelling for multiple yield curve dynamics |
scientific article |
Statements
Parsimonious HJM modelling for multiple yield curve dynamics (English)
0 references
5 September 2014
0 references
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
