Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives
Marcin Dec
| Year of publication: |
[2018]
|
|---|---|
| Authors: | Dec, Marcin |
| Publisher: |
Warszawa : Szkoła Główna Handlowa w Warszawie |
| Subject: | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Monte-Carlo-Simulation | Monte Carlo simulation | Polen | Poland |
| Extent: | 1 Online-Ressource (circa 41 Seiten) Illustrationen |
|---|---|
| Series: | Collegium of Economic Analysis working paper series. - Warszawa : SGH KAE, ZDB-ID 2858752-2. - Vol. number: 2018, 038 (June 2018) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011954203