A Multiple Curve Lévy Swap Market Model
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Publication:4994676
DOI10.1080/1350486X.2021.1877559zbMath1466.91333OpenAlexW3133797684MaRDI QIDQ4994676
Christoph Gerhart, Ernst Eberlein, Eva Lütkebohmert
Publication date: 21 June 2021
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2021.1877559
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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