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On Multicurve Models for the Term Structure · Study

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ChapterOn Multicurve Models for the Term Structure

Laura Morino2014

OA

Chaptergreen2014

On Multicurve Models for the Term Structure

Laura Morino · Wolfgang J. Runggaldier

29 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Credit Risk and Financial Regulations Risk Management in Financial Firms

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References

2009Term-Structure Models 2009Term-Structure Models: A Graduate Course 2012The Term Structure of Interbank Risk 2013Counterparty Credit Risk, Collateral and Funding 2009Interest Rates and The Credit Crunch: New Formulas and Market Models 2009A multi-quality model of interest rates 2013Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes 2009A Note on Construction of Multiple Swap Curves with and without Collateral

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Year2014

Typechapter

Published2014-01-01

VenueSpringer eBooks

Languageen

Citations29

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-319-07470-2_16

openalex_workW1575982948

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