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The Lévy Swap Market Model - MaRDI portal

The Lévy Swap Market Model (Q5297934)

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scientific article; zbMATH DE number 5171070
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English
The Lévy Swap Market Model
scientific article; zbMATH DE number 5171070

    Statements

    title
    The Lévy Swap Market Model (English)
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    author
    Ernst Eberlein
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    Jan Liinev
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    publication date
    16 July 2007
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    zbMATH Keywords
    swap rates
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    swap market model
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    swaption
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    forward swap measure
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    Lévy process
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    interest rate model
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    Identifiers

    zbMATH DE Number
    5171070
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    OpenAlex ID
    W2009901942
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