Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model

DOI10.1080/14697688.2020.1722318zbMath1454.91323OpenAlexW3016107043MaRDI QIDQ5139218

Robert Matthijs Verschuren

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1722318

zbMATH Keywords

calibrationnegative interest ratesdeterministic volatilityinterest rate capletspiecewise homogeneitystochastic term structures

Mathematics Subject Classification ID

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

Cites Work

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