Multi-curve Modelling Using Trees

DOI10.1007/978-3-319-33446-2_9zbMath1398.91626OpenAlexW1787023877MaRDI QIDQ4689907

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Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_9

zbMATH Keywords

LIBOROISinterest rate treesmulti-curve modelling

Mathematics Subject Classification ID

Trees (05C05) Applications of graph theory (05C90) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Interest rate trees: extensions and applications

Cites Work

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• Interest rate models -- theory and practice. With smile, inflation and credit
• A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship

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