A multi-curve HJM factor model for pricing and risk management
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Publication:6067802
DOI10.1080/14697688.2023.2251179zbMath1530.91581MaRDI QIDQ6067802
Griselda Deelstra, Tobias Bienek, Andreas Lichtenstern, Rudi Zagst
Publication date: 14 December 2023
Published in: Quantitative Finance (Search for Journal in Brave)
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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