AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL (Q5210913)
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scientific article; zbMATH DE number 7152538
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL |
scientific article; zbMATH DE number 7152538 |
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AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL (English)
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16 January 2020
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multi-curve model
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OIS rate
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LIBOR rate
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basis spread
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forward measure
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caplet/floorlet pricing
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hedging
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Greeks
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Ornstein-Uhlenbeck process
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arithmetic multi-factor model
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pure-jump process
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enlarged filtration
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future information
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