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A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst
;
Gerhart, Christoph
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
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A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
;
Lütkebohmert, Eva
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
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