Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model (Q5139218)
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scientific article; zbMATH DE number 7282768
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model |
scientific article; zbMATH DE number 7282768 |
Statements
Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model (English)
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7 December 2020
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stochastic term structures
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negative interest rates
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deterministic volatility
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piecewise homogeneity
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interest rate caplets
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calibration
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