A multiple-curve Lévy forward rate model in a two-price economy (Q4554436)
From MaRDI portal
scientific article; zbMATH DE number 6979477
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multiple-curve Lévy forward rate model in a two-price economy |
scientific article; zbMATH DE number 6979477 |
Statements
A multiple-curve Lévy forward rate model in a two-price economy (English)
0 references
14 November 2018
0 references
multiple-curve bootstrapping
0 references
multiple-curve model
0 references
time-inhomogeneous Lévy processes
0 references
monotonicity of curves
0 references
two-price theory
0 references
negative interest rates
0 references
interest rate derivatives
0 references
calibration
0 references
0 references
