AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL
DOI10.1142/S0219024919500420zbMath1431.91408OpenAlexW3122990068WikidataQ126862183 ScholiaQ126862183MaRDI QIDQ5210913
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Publication date: 16 January 2020
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024919500420
hedgingOrnstein-Uhlenbeck processforward measureGreeksfuture informationLIBOR ratebasis spreadOIS ratearithmetic multi-factor modelmulti-curve modelenlarged filtrationpure-jump processcaplet/floorlet pricing
Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Jump processes on general state spaces (60J76)
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Cites Work
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