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Rational multi-curve models with counterparty-risk valuation adjustments |
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| Authors: | Stéphane Crépey Tuyet Mai Nguyen David Skovmand |
| Affiliation: | 1. Laboratoire de Mathématiques et Modélisation d’évry, Université évry Val d’Essonne, évry, France.;2. Department of Finance, Copenhagen Business School, Copenhagen, Denmark. |
| Abstract: | |
| Keywords: | Multi-curve interest rate term structure models LIBOR Rational asset pricing models Calibration Counterparty-risk Risk management Markov functionals Basis swap |