Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model (Q4689909)
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scientific article; zbMATH DE number 6959388
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| English | Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model |
scientific article; zbMATH DE number 6959388 |
Statements
Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model (English)
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22 October 2018
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multi-curve models
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short rate models
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short rate spreads
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Gaussian exponentially quadratic models
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pricing of linear and optional interest rate derivatives
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Riccati equations
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adjustment factors
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0.8012322187423706
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0.7380149364471436
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0.7368596196174622
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0.7358686327934265
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0.7331246137619019
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