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Showing 1 to 2 of 2 for “"Multicurve"”.
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Polynomial Multi-Curve Models And Extensions In Mathematical Finance
… models. Following this, we introduce a multicurve model set-up in order to compute the non-arbitrage prices of a forward rate agreement. This is done by assuming that the underlying factor processes, which describe the dynamics of the interest and spread rates are given by a diffusion …
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Multi-curve frameworks and information-based models
… and single-curve models are extended to a multicurve setting. In a final application, it is shown how the xy-approach offers a flexible framework for solving pricing problems involving financial instruments with floating nominal rate, inflation and foreign exchange exposures, in a …