Term structure modelling for multiple curves with stochastic discontinuities
Claudio Fontana, Zorana Grbac, Sandrine Gümbel, Thorsten Schmidt
| Year of publication: |
2020
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|---|---|
| Authors: | Fontana, Claudio ; Grbac, Zorana ; Gümbel, Sandrine ; Schmidt, Thorsten |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 24.2020, 2, p. 465-511
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| Subject: | HJM model | Semimartingale | Affine process | NAFLVR | Large financial market | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market | Martingal | Martingale | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-020-00416-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012253393