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1 Ergebnisse
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Term structure modelling for multiple curves with stochasti..:
Fontana, Claudio
;
Grbac, Zorana
;
Gümbel, Sandrine
.
info:eu-repo/semantics/altIdentifier/doi/10.1007/s00780-020-00416-5. , 2020
Link:
https://hal.science/hal-03898927
RT Journal T1
Term structure modelling for multiple curves with stochastic discontinuities
UL https://suche.suub.uni-bremen.de/peid=base-ftunivparis:oai:HAL:hal-03898927v1&Exemplar=1&LAN=DE A1 Fontana, Claudio A1 Grbac, Zorana A1 Gümbel, Sandrine A1 Schmidt, Thorsten PB HAL CCSD; Springer Verlag (Germany) YR 2020 K1 semimartingale K1 affine process K1 NAFLVR K1 large financial market K1 multiple yield curves K1 stochastic discontinuities K1 forward rate agreement K1 market models K1 Libor rate K1 HJM Model K1 [MATH]Mathematics [math] K1 [QFIN]Quantitative Finance [q-fin] JF info:eu-repo/semantics/altIdentifier/doi/10.1007/s00780-020-00416-5 LK http://dx.doi.org/https://hal.science/hal-03898927 DO https://hal.science/hal-03898927 SF ELIB - SuUB Bremen
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