Term structure modelling for multiple curves with stochastic discontinuities

Claudio Fontana, Zorana Grbac, Sandrine Gümbel, Thorsten Schmidt

Year of publication:	2020
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
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

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