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THE MULTI-CURVE POTENTIAL MODEL - MaRDI portal

THE MULTI-CURVE POTENTIAL MODEL (Q3460685)

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THE MULTI-CURVE POTENTIAL MODEL
scientific article

    Statements

    title
    THE MULTI-CURVE POTENTIAL MODEL (English)
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    author
    the Anh Nguyen
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    Frank Thomas Seifried
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    publication date
    8 January 2016
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    zbMATH Keywords
    multi-curve models
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    potential approach
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    state-price deflator
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    foreign exchange rates
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    rational lognormal model
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    OIS
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    LIBOR
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    FRA rate
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    FRA spread
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    LIBOR-OIS spread
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60G44
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    91G20
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    zbMATH DE Number
    6527661
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    OpenAlex ID
    W3125757004
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