Rational multi-curve models with counterparty-risk valuation adjustments (Q5001175)

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scientific article; zbMATH DE number 7372437
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Rational multi-curve models with counterparty-risk valuation adjustments
scientific article; zbMATH DE number 7372437

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    Rational multi-curve models with counterparty-risk valuation adjustments (English)
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    16 July 2021
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    multi-curve interest rate term structure models
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    LIBOR
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    rational asset pricing models
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    calibration
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    counterparty-risk
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    risk management
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    Markov functionals
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    basis swap
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