Correlations in Lévy interest rate models (Q2866364)
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scientific article; zbMATH DE number 6238211
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Correlations in Lévy interest rate models |
scientific article; zbMATH DE number 6238211 |
Statements
Correlations in Lévy interest rate models (English)
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13 December 2013
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correlation structures
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correlation modelling
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interest rate modelling
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Lévy process
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LIBOR market models
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fixed-income markets
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