Rational multi-curve models with counterparty-risk valuation adjustments (Q5001175)
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scientific article; zbMATH DE number 7372437
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rational multi-curve models with counterparty-risk valuation adjustments |
scientific article; zbMATH DE number 7372437 |
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Rational multi-curve models with counterparty-risk valuation adjustments (English)
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16 July 2021
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multi-curve interest rate term structure models
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LIBOR
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rational asset pricing models
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calibration
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counterparty-risk
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risk management
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Markov functionals
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basis swap
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