Multiple yield curve modelling with CBI processes
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
| Year of publication: |
2021
|
|---|---|
| Authors: | Fontana, Claudio ; Gnoatto, Alessandro ; Szulda, Guillaume |
| Subject: | Branching process | Self-exciting process | Multi-curve model | Interest rate | Libor rate | OIS rate | Spread | Affine process | Zinsstruktur | Yield curve | Theorie | Theory | Zins | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-020-00289-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012586190