Multiple curve Lévy forward price model allowing for negative interest rates
DOI10.1111/MAFI.12210OpenAlexW2964288303MaRDI QIDQ5109986FDOQ5109986
Authors: Ernst Eberlein, Christoph Gerhart, Zorana Grbac 
Publication date: 14 May 2020
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.02605
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Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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