Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (Q3195114)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration |
scientific article |
Statements
Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (English)
0 references
21 October 2015
0 references
multiple curve models
0 references
Libor
0 references
OIS
0 references
basis spread
0 references
affine Libor models
0 references
caps
0 references
swaptions
0 references
basis swaptions
0 references
calibration
0 references
0 references
0 references
