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

Stephane Crepey; Zorana Grbac; Nathalie Ngor; David Skovmand

doi:10.1080/14697688.2014.942232

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

Stephane Crepey, Zorana Grbac, Nathalie Ngor, David Skovmand

19 Citationer (Scopus)

Originalsprog	Engelsk
Tidsskrift	Quantitative Finance
Vol/bind	15
Udgave nummer	3
Sider (fra-til)	401-419
ISSN	1469-7688
DOI	https://doi.org/10.1080/14697688.2014.942232
Status	Udgivet - 4 mar. 2015
Udgivet eksternt	Ja

Adgang til dokumentet

10.1080/14697688.2014.942232

Citationsformater

@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",

}

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

SN - 1469-7688

VL - 15

SP - 401

EP - 419

JO - Quantitative Finance

JF - Quantitative Finance

IS - 3

ER -

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

Adgang til dokumentet

Fingeraftryk

Citationsformater