Parsimonious HJM modelling for multiple yield curve dynamics (Q2879021)
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scientific article; zbMATH DE number 6340762
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Parsimonious HJM modelling for multiple yield curve dynamics |
scientific article; zbMATH DE number 6340762 |
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Parsimonious HJM modelling for multiple yield curve dynamics (English)
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5 September 2014
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interest-rate model
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HJM model
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Libor rates
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weighted Gaussian model
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at-the-money swaption prices
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