A Multiple Curve Lévy Swap Market Model
Author:
Affiliation:
1. Department of Mathematical Stochastics, University of Freiburg, Freiburg, Germany
2. Department of Quantitative Finance, Institute for Economic Research, University of Freiburg, Freiburg, Germany
Funder
German Research Foundation
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2021.1877559
Reference37 articles.
1. The Market Model of Interest Rate Dynamics
2. A multiple-curve HJM model of interbank risk
3. A Lévy HJM multiple-curve model with application to CVA computation
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1. Modeling, Experimental Simulations And Probability Estimation Upon A Computationally-Efficient Discretization Algorithm For Jump-Type Lévy Processes;2023 8th International Symposium on Electrical and Electronics Engineering (ISEEE);2023-10-26
2. Arbitrage-free Nelson–Siegel model for multiple yield curves;Mathematics and Financial Economics;2021-10-06
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