Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives
Marcin Dec
| Year of publication: |
2019
|
|---|---|
| Authors: | Dec, Marcin |
| Published in: |
Bank i kredyt. - Warszawa, ISSN 0137-5520, ZDB-ID 2374691-9. - Vol. 50.2019, 2, p. 107-148
|
| Subject: | instantaneous forward rate models | multi-curve valuation | XVA, HJM framework | Cheyette model | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Derivat | Derivative | Markov-Kette | Markov chain | CAPM | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012155020