A multiple-curve Lévy forward rate model in a two-price economy (Q4554436)
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scientific article; zbMATH DE number 6979477
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | A multiple-curve Lévy forward rate model in a two-price economy |
scientific article; zbMATH DE number 6979477 |
Statements
A multiple-curve Lévy forward rate model in a two-price economy (English)
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14 November 2018
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multiple-curve bootstrapping
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multiple-curve model
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time-inhomogeneous Lévy processes
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monotonicity of curves
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two-price theory
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negative interest rates
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interest rate derivatives
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calibration
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0.888531506061554
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0.8286316990852356
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0.8169814944267273
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0.8065350651741028
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