A Levy HJM multiple-curve model with application to CVA computation

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

A Levy HJM multiple-curve model with application to CVA computation. / Crepey, Stephane; Grbac, Zorana; Ngor, Nathalie; Skovmand, David.

In: Quantitative Finance, Vol. 15, No. 3, 04.03.2015, p. 401-419.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Crepey, S, Grbac, Z, Ngor, N & Skovmand, D 2015, 'A Levy HJM multiple-curve model with application to CVA computation', Quantitative Finance, vol. 15, no. 3, pp. 401-419. https://doi.org/10.1080/14697688.2014.942232

APA

Crepey, S., Grbac, Z., Ngor, N., & Skovmand, D. (2015). A Levy HJM multiple-curve model with application to CVA computation. Quantitative Finance, 15(3), 401-419. https://doi.org/10.1080/14697688.2014.942232

Vancouver

Crepey S, Grbac Z, Ngor N, Skovmand D. A Levy HJM multiple-curve model with application to CVA computation. Quantitative Finance. 2015 Mar 4;15(3):401-419. https://doi.org/10.1080/14697688.2014.942232

Author

Crepey, Stephane ; Grbac, Zorana ; Ngor, Nathalie ; Skovmand, David. / A Levy HJM multiple-curve model with application to CVA computation. In: Quantitative Finance. 2015 ; Vol. 15, No. 3. pp. 401-419.

Bibtex

@article{0580227d28e44aca87c34af0576d7b99,
title = "A Levy HJM multiple-curve model with application to CVA computation",
keywords = "Funding, Levy process, Interest rate derivative, Multiple-curve term structure model, Credit valuation adjustment (CVA)",
author = "Stephane Crepey and Zorana Grbac and Nathalie Ngor and David Skovmand",
year = "2015",
month = mar,
day = "4",
doi = "10.1080/14697688.2014.942232",
language = "English",
volume = "15",
pages = "401--419",
journal = "Quantitative Finance",
issn = "1469-7688",
publisher = "Routledge",
number = "3",

}

RIS

TY - JOUR

T1 - A Levy HJM multiple-curve model with application to CVA computation

AU - Crepey, Stephane

AU - Grbac, Zorana

AU - Ngor, Nathalie

AU - Skovmand, David

PY - 2015/3/4

Y1 - 2015/3/4

KW - Funding

KW - Levy process

KW - Interest rate derivative

KW - Multiple-curve term structure model

KW - Credit valuation adjustment (CVA)

U2 - 10.1080/14697688.2014.942232

DO - 10.1080/14697688.2014.942232

M3 - Journal article

VL - 15

SP - 401

EP - 419

JO - Quantitative Finance

JF - Quantitative Finance

SN - 1469-7688

IS - 3

ER -

ID: 188789535