2021 Artikel A multiple curve Lévy swap market model

A multiple curve Lévy swap market model. Applied Mathematical Finance (2021) (with Chr. Gerhart and E. Lütkebohmert) (pdf) The Version of Record of this manuscript has been published and is available in Applied Mathematical Finance (2021) http://www.tandfonline.com/ (doi: 10.1080/1350486X.2021.1877559)

multiple_curve_swap_mm-revision-final.pdf — PDF document, 472Kb