Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model (Q4689909)
From MaRDI portal
scientific article; zbMATH DE number 6959388
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model |
scientific article; zbMATH DE number 6959388 |
Statements
Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model (English)
0 references
22 October 2018
0 references
multi-curve models
0 references
short rate models
0 references
short rate spreads
0 references
Gaussian exponentially quadratic models
0 references
pricing of linear and optional interest rate derivatives
0 references
Riccati equations
0 references
adjustment factors
0 references
0 references
0 references
