Interest Rate Modeling: Post-Crisis Challenges and Approaches

DOI10.1007/978-3-319-25385-5zbMath1418.91553OpenAlexW2478960646MaRDI QIDQ2950371

Zorana Grbac, Wolfgang J. Runggaldier

Publication date: 8 October 2015

Published in: SpringerBriefs in Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-25385-5

zbMATH Keywords

multiple curvesshort-rate modelsLibor market modelsinterest rate modelinghybrid HJM-LMM modelspost-crisis marketsrational pricing kernel models

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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