A multiple-curve HJM model of interbank risk
- 1 June 2012
- journal article
- Published by Springer Science and Business Media LLC in Mathematics and Financial Economics
- Vol. 6 (3), 155-190
- https://doi.org/10.1007/s11579-012-0083-4
Abstract
No abstract availableKeywords
This publication has 25 references indexed in Scilit:
- Analysis of Fourier Transform Valuation Formulas and ApplicationsApplied Mathematical Finance, 2010
- A cross-currency Lévy market modelQuantitative Finance, 2006
- VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELSMathematical Finance, 2006
- Exact pricing formulae for caps and swaptions in a Lévy term structure modelJournal of Computational Finance, 2005
- Lévy term structure models: No-arbitrage and completenessFinance and Stochastics, 2005
- Financial Modelling with Jump ProcessesPublished by Taylor & Francis Ltd ,2003
- The Fine Structure of Asset Returns: An Empirical InvestigationThe Journal of Business, 2002
- Modelling by Lévy Processess for Financial EconometricsPublished by Springer Science and Business Media LLC ,2001
- Classes of Interest Rate Models under the HJM FrameworkAsia-Pacific Financial Markets, 2001
- Multiple Ratings Model of Defaultable Term StructureMathematical Finance, 2000