A Levy HJM multiple-curve model with application to CVA computation
Research output: Contribution to journal › Journal article › Research › peer-review
Original language | English |
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Journal | Quantitative Finance |
Volume | 15 |
Issue number | 3 |
Pages (from-to) | 401-419 |
ISSN | 1469-7688 |
DOIs | |
Publication status | Published - 4 Mar 2015 |
Externally published | Yes |
- Funding, Levy process, Interest rate derivative, Multiple-curve term structure model, Credit valuation adjustment (CVA)
Research areas
ID: 188789535