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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Journal of monetary economics"
~person:"Grasselli, Martino"
~type_genre:"Aufsatz in Zeitschrift"
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Interest rate derivative
2
Stochastic process
2
Stochastischer Prozess
2
Yield curve
2
Zinsderivat
2
Zinsstruktur
2
Affine processes
1
Basis
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Fast Fourier transform
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LIBOR/OIS spread
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Libor market model
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Liquidity risk
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Option pricing theory
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Optionspreistheorie
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Aufsatz in Zeitschrift
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Grasselli, Martino
Rudebusch, Glenn D.
5
Kozicki, Sharon
4
Tinsley, Peter A.
4
Guo, Bin
3
Altavilla, Carlo
2
Andrade, Philippe
2
Angelini, Paolo
2
Bekaert, Geert
2
Berndt, Antje
2
Christensen, Jens H. E.
2
Crump, Richard K.
2
Driffill, John
2
Goodfriend, Marvin
2
Hodrick, Robert J.
2
Huang, Fuzhe
2
Koijen, Ralph S. J.
2
Li, Kai
2
Lu, Biao
2
López, José A.
2
McCallum, Bennett T.
2
Mumtaz, Haroon
2
Mönch, Emanuel
2
Wouters, Rafael
2
Wright, Jonathan H.
2
Yeltekin, Şevin
2
Zin, Stanley E.
2
Abel, Andrew B.
1
Abrahams, Michael
1
Acharya, Viral V.
1
Adrian, Tobias
1
Adão, Bernardino
1
Aguiar-Conraria, Luís
1
Alfeus, Mesias
1
Almeida, Caio
1
Amilon, Henrik
1
Andersson, Malin
1
Ang, Andrew
1
Archer, David J.
1
Augustin, Patrick
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Journal of economic dynamics & control
Journal of monetary economics
Insurance / Mathematics & economics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
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ECONIS (ZBW)
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A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
- In:
Journal of economic dynamics & control
114
(
2020
),
pp. 1-42
Persistent link: https://www.econbiz.de/10012502563
Saved in:
2
A flexible matrix Libor model with smiles
Da Foncesca, José
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Journal of economic dynamics & control
37
(
2013
)
4
,
pp. 774-793
Persistent link: https://www.econbiz.de/10009726178
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