A Multiple Curve Lévy Swap Market Model

Article Properties
  • Language
    English
  • DOI (url)
    10.1080/1350486x.2021.1877559
  • Publication Date
    2020/09/02
  • Journal
    Applied Mathematical Finance
  • Indian UGC (journal)
  • Refrences
    37
  • Ernst Eberlein Department of Mathematical Stochastics, University of Freiburg, Freiburg, Germany ORCID (unauthenticated)
  • Christoph Gerhart Department of Quantitative Finance, Institute for Economic Research, University of Freiburg, Freiburg, Germany
  • Eva Lütkebohmert Department of Quantitative Finance, Institute for Economic Research, University of Freiburg, Freiburg, Germany
Cite
Eberlein, Ernst, et al. “A Multiple Curve Lévy Swap Market Model”. Applied Mathematical Finance, vol. 27, no. 5, 2020, pp. 396-21, https://doi.org/10.1080/1350486x.2021.1877559.
Eberlein, E., Gerhart, C., & Lütkebohmert, E. (2020). A Multiple Curve Lévy Swap Market Model. Applied Mathematical Finance, 27(5), 396-421. https://doi.org/10.1080/1350486x.2021.1877559
Eberlein E, Gerhart C, Lütkebohmert E. A Multiple Curve Lévy Swap Market Model. Applied Mathematical Finance. 2020;27(5):396-421.
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Proceedings of the Actuarial and Financial Mathematics Conference, Brussels, Belgium, 2010 2011
Martingale Methods in Financial Modelling 2006
Working Paper, presented at ICBI Global Derivatives Conference 2000