A Lévy HJM multiple-curve model with application to CVA computation (Q4683048)
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scientific article; zbMATH DE number 6939252
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Lévy HJM multiple-curve model with application to CVA computation |
scientific article; zbMATH DE number 6939252 |
Statements
A Lévy HJM multiple-curve model with application to CVA computation (English)
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19 September 2018
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interest rate derivative
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multiple-curve term structure model
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Lévy process
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credit valuation adjustment (CVA)
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funding
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