A general HJM framework for multiple yield curve modelling
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
| Year of publication: |
April 2016
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|---|---|
| Authors: | Cuchiero, Christa ; Fontana, Claudio ; Gnoatto, Alessandro |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 2, p. 267-320
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| Subject: | Multiple yield curves | HJM model | Semimartingale | Forward rate agreement | Libor rate | Affine processes | Multiplicative spreads | Zinsstruktur | Yield curve | Kapitaleinkommen | Capital income | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Martingal | Martingale | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-016-0291-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011470672