A Lévy HJM multiple-curve model with application to CVA computation
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2014.942232
Reference34 articles.
1. Counterparty Credit Risk, Collateral and Funding
2. The Finite Moment Log Stable Process and Option Pricing
3. Financial Modelling with Jump Processes
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