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Publication:3558454
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zbMath1200.91007MaRDI QIDQ3558454

Zorana Grbac

Publication date: 5 May 2010

Full work available at URL: http://www.freidok.uni-freiburg.de/volltexte/7253/

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Lévy processcredit riskLibor modeling


Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)


Related Items (3)

Arbitrage-free Nelson-Siegel model for multiple yield curves ⋮ A tractable LIBOR model with default risk ⋮ A multiple-curve HJM model of interbank risk







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