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A Multiple Curve Lévy Swap Market Model - MaRDI portal

A Multiple Curve Lévy Swap Market Model (Q4994676)

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scientific article; zbMATH DE number 7361326
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English
A Multiple Curve Lévy Swap Market Model
scientific article; zbMATH DE number 7361326

    Statements

    title
    A Multiple Curve Lévy Swap Market Model (English)
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    author
    Ernst Eberlein
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    Christoph Gerhart
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    Eva Lütkebohmert
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    publication date
    21 June 2021
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    zbMATH Keywords
    multiple curve model
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    swap market model
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    Lévy processes
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    swaption pricing
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    cites work
    Mathematical Finance
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    Q4778955
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    Q4151662
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    Q4937701
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    Identifiers

    zbMATH DE Number
    7361326
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    OpenAlex ID
    W3133797684
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