A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch (Q320915)
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scientific article; zbMATH DE number 6635768
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| English | A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch |
scientific article; zbMATH DE number 6635768 |
Statements
A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch (English)
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7 October 2016
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basis swaps
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HJM model
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credit crisis
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Libor models
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multi-curve term structure modelling
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0.8383042812347412
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0.8365429639816284
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0.7893092632293701
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0.7835347056388855
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0.7715232372283936
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