Multi-curve Modelling Using Trees (Q4689907)

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scientific article; zbMATH DE number 6959387

Language	Label	Description	Also known as
English	Multi-curve Modelling Using Trees	scientific article; zbMATH DE number 6959387

Statements

scholarly article

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Multi-curve Modelling Using Trees (English)

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Innovations in Derivatives Markets

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publication date

22 October 2018

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zbMATH Keywords

OIS

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LIBOR

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interest rate trees

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multi-curve modelling

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-319-33446-2_9

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Interest rate models -- theory and practice. With smile, inflation and credit

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The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship

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A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions

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Valuing American Options by Simulation: A Simple Least-Squares Approach

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Identifiers

zbMATH Open document ID

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10.1007/978-3-319-33446-2_9

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:4689907

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