A multiple-curve HJM model of interbank risk
type: Item
instance of: scholarly article
title: A multiple-curve HJM model of interbank risk
zbMATH Open document ID: 1264.91131
author: Stéphane Crépey
author: Zorana Grbac
author: Hai-Nam Nguyen
published in: Mathematics and Financial Economics
publication date: 2013-02-26T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 6139068
zbMATH Keywords: interest rate derivatives
zbMATH Keywords: LIBOR
zbMATH Keywords: HJM
zbMATH Keywords: multiple curve
zbMATH Keywords: interbank risk
zbMATH Keywords: Lévy processes
MaRDI profile type: Publication
full work available at URL: s11579-012-0083-4
OpenAlex ID: W1977593205
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DOI: 10.1007/S11579-012-0083-4
description: scientific article; zbMATH DE number 6139068