A multiple-curve HJM model of interbank risk (Q1938982)
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scientific article; zbMATH DE number 6139068
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| English | A multiple-curve HJM model of interbank risk |
scientific article; zbMATH DE number 6139068 |
Statements
A multiple-curve HJM model of interbank risk (English)
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26 February 2013
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interest rate derivatives
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LIBOR
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HJM
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multiple curve
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interbank risk
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Lévy processes
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0.8383042812347412
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0.8008226752281189
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0.7996352910995483
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0.7982537746429443
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0.791589617729187
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