Bootstrapping the illiquidity : multiple-yield-curve construction for market-coherent discount and FRA rates estimation
Ferdinando M. Ametrano; Marco Bianchetti (Banca IMI; Banca Intesa Sanpaolo)
| Year of publication: |
2013
|
|---|---|
| Authors: | Ametrano, Ferdinando M. ; Bianchetti, Marco |
| Published in: |
Interest rate modelling after the financial crisis. - London : Risk Books, ISBN 978-1-906348-93-9. - 2013, p. 153-215
|
| Subject: | Zinsstruktur | Yield curve | Bootstrap-Verfahren | Bootstrap approach | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011456972