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

Research output: Contribution to journalJournal articlepeer-review

Original languageEnglish
JournalQuantitative Finance
Volume15
Issue number3
Pages (from-to)401-419
ISSN1469-7688
DOIs
Publication statusPublished - 4 Mar 2015
Externally publishedYes

    Research areas

  • Funding, Levy process, Interest rate derivative, Multiple-curve term structure model, Credit valuation adjustment (CVA)

ID: 188789535