Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA (Q2296110)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA |
scientific article |
Statements
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA (English)
0 references
17 February 2020
0 references
affine LIBOR models
0 references
multiple curves
0 references
discrete tenor
0 references
continuous tenor
0 references
interpolation
0 references
XVA
0 references
model risk
0 references
