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~isPartOf:"Report / Erasmus Center for Financial Research, Erasmus University"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~isPartOf:"Review of derivatives research"
~subject:"frequency basis"
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Report / Erasmus Center for Financial Research, Erasmus University
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
Review of derivatives research
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A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
-
2017
Persistent link: https://www.econbiz.de/10011778187
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A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
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