Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004)
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scientific article; zbMATH DE number 6217454
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Kernel-correlated Lévy field driven forward rate and application to derivative pricing |
scientific article; zbMATH DE number 6217454 |
Statements
Kernel-correlated Lévy field driven forward rate and application to derivative pricing (English)
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21 October 2013
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forward interest rate
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kernel-correlated Lévy field
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HJM model
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derivative pricing
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0.86967105
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0.8677633
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0.8539961
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0.85177684
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0.8503059
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0.84950125
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0.84623945
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