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 |
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English | A multi-curve HJM factor model for pricing and risk management |
scientific article; zbMATH DE number 7778534 |
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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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