An arithmetic pure-jump multi-curve interest rate model
Markus Hess
| 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
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| 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 | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Hedging | Stochastischer Prozess | Stochastic process | Griechenland | Greece | Zins | Interest rate | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500420 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012183228