A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch

European Journal of Operational Research

Volumn 249, Issue 1, 2016, Pages 238-244

  Fanelli, Viviana ^a  

^a UNIVERSITY OF BARI   (Italy)

Author keywords

Basis swaps; Credit crisis; HJM model; Libor models; Multi curve term structure modelling

Indexed keywords

COSTS; INTEGRAL EQUATIONS; MONTE CARLO METHODS; NUMERICAL METHODS; RISK ASSESSMENT; STOCHASTIC SYSTEMS;

BASIS SWAPS; CREDIT CRISIS; CREDIT QUALITY; CREDIT RISK MODELING; HJM MODEL; NUMERICAL SCHEME; STOCHASTIC INTEGRAL; TERM STRUCTURE;

STOCHASTIC MODELS;

EID: 84948716571     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2015.08.031     Document Type: Article

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