Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA (Q2296110)
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scientific article; zbMATH DE number 7168368
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| English | Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA |
scientific article; zbMATH DE number 7168368 |
Statements
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA (English)
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17 February 2020
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affine LIBOR models
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multiple curves
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discrete tenor
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continuous tenor
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interpolation
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XVA
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model risk
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0.8135924935340881
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0.7954723834991455
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0.7740822434425354
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0.7613734006881714
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