A multiple-curve HJM model of interbank risk

DOI10.1007/s11579-012-0083-4zbMath1264.91131OpenAlexW1977593205MaRDI QIDQ1938982

Stéphane Crépey, Zorana Grbac, Hai-Nam Nguyen

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-012-0083-4

zbMATH Keywords

Lévy processesmultiple curveinterest rate derivativesHJMLIBORinterbank risk

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

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