LIBOR market model with multiplicative basis
Yangfan Zhong
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Zhong, Yangfan |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 2, p. 1-38
|
| Subject: | LIBOR market model | multiple-curve models/setting | LIBOR-OIS basis spread | multiplicative basis | square-root process | multi-factor model | shifted lognormal model | credit crunch | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786318500147 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011923001