Parsimonious multi-curve HJM modelling with stochastic volatility
Year of publication: |
2013
|
---|---|
Authors: | Moreni, Nicola ; Pallavicini, Andrea |
Published in: |
Interest rate modelling after the financial crisis. - London : Risk Books, ISBN 978-1-906348-93-9. - 2013, p. 393-415
|
Subject: | Zinsstruktur | Yield curve | Stochastische Volatilität | Stochastic volatility |
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