A multi-curve HJM factor model for pricing and risk management (Q6067802)
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scientific article; zbMATH DE number 7778534
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A multi-curve HJM factor model for pricing and risk management |
scientific article; zbMATH DE number 7778534 |
Statements
A multi-curve HJM factor model for pricing and risk management (English)
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14 December 2023
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XIBOR rate
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multiple yield curves
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multiplicative spread
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affine processes
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0.8194804787635803
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0.8035405278205872
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0.8018936514854431
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0.7966524958610535
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