Nathalie Ngor

Université d'Évry

Master student

Bd. François Mitterrand

F-91025 Evry Cedex, 91028

France

  • Université d'Évry

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A Levy HJM Multiple-Curve Model with Application to CVA Computation

Number of pages: 29 Posted: 02 Oct 2013
Stéphane Crépey, Zorana Grbac, Nathalie Ngor and David Skovmand
Université d'Évry - Equipe d'Analyse et Probabilites, Université Paris VII Denis Diderot, Université d'Évry and Aarhus University - School of Business and Social Sciences
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Abstract:

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interest rate derivative, multiple-curve term structure model, Levy process, credit valuation adjustment (CVA), funding