An arithmetic pure-jump multi-curve interest rate model
Year of publication: |
2019
|
---|---|
Authors: | Hess, Markus |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 8, p. 1-30
|
Subject: | Multi-curve model | OIS rate | LIBOR rate | basis spread | forward measure | caplet/floorlet pricing | hedging | Greeks | Ornstein-Uhlenbeck process | arithmetic multi-factor model | pure-jump process | enlarged filtration | future information | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Hedging | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Zins | Interest rate | Griechenland | Greece |
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