The multi-curve potential model
The Anh Nguyen; Frank Thomas Seifried
| Year of publication: |
2015
|
|---|---|
| Authors: | Nguyen, The Anh ; Seifried, Frank Thomas |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 7, p. 1-32
|
| Subject: | Multi-curve models | potential approach | state-price deflator | foreign exchange rates | rational lognormal model | OIS | LIBOR | FRA rate | FRA spread | LIBOR–OIS spread | Wechselkurs | Exchange rate | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011404390