Multiple curve Lévy forward price model allowing for negative interest rates (Q5109986)
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scientific article; zbMATH DE number 7200954
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiple curve Lévy forward price model allowing for negative interest rates |
scientific article; zbMATH DE number 7200954 |
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Multiple curve Lévy forward price model allowing for negative interest rates (English)
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14 May 2020
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multiple yield curves
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forward price model
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negative interest rates
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time-inhomogeneous Lévy processes
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LIBOR-OIS spread
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