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  • Search: subject:"multiple-curve models/setting"
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Arbitrage Pricing 1 Arbitrage pricing 1 Credit rationing 1 Derivat 1 Derivative 1 Interest rate derivative 1 Kreditrationierung 1 LIBOR market model 1 LIBOR-OIS basis spread 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Yield curve 1 Zinsderivat 1 Zinsstruktur 1 credit crunch 1 multi-factor model 1 multiple-curve models/setting 1 multiplicative basis 1 shifted lognormal model 1 square-root process 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Zhong, Yangfan 1
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International journal of financial engineering 1
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ECONIS (ZBW) 1
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LIBOR market model with multiplicative basis
Zhong, Yangfan - In: International journal of financial engineering 5 (2018) 2, pp. 1-38
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