A multi-curve HJM factor model for pricing and risk management (Q6067802)
From MaRDI portal
scientific article; zbMATH DE number 7778534
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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)
0 references
14 December 2023
0 references
XIBOR rate
0 references
multiple yield curves
0 references
multiplicative spread
0 references
affine processes
0 references
0 references
0 references
