Parsimonious multi-curve HJM modelling with stochastic volatility
Nicola Moreni, Andrea Pallavicini (Banca IMI)
| 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 |
| 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/10011457026