A multiple curve Lévy swap market model
Ernst Eberlein, Christoph Gerhart and Eva Lütkebohmert
| Year of publication: |
2020
|
|---|---|
| Authors: | Eberlein, Ernst ; Gerhart, Christoph ; Lütkebohmert-Holtz, Eva |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 27.2020, 5, p. 396-421
|
| Subject: | Lévy processes | multiple curve model | swap market model | swaption pricing | Swap | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2021.1877559 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012501623