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  • Search: person:"Cassaro, Alessandro"
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Bauwirtschaft 1 Bootstrap 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Construction industry 1 STIR futures 1 Theorie 1 Theory 1 convexity adjustments 1 dual-curve construction 1
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Free 1
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Article 1 Book / Working Paper 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 2
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Baviera, Roberto 2 Cassaro, Alessandro 2
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Applied mathematical finance 1
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
Did you mean: person:"massaro, Alessandro" (22 results)
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Mr. Crab's Bootstrap
Baviera, Roberto - 2014
Observe crabs in the sand of our beaches: they move forward, backward and then forward again. Before the crisis standard bootstrap of the interest rate curve was a "Forward" looking iterative process where, in order to find discounts at certain dates, only information at previous dates was...
Persistent link: https://www.econbiz.de/10013065301
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A note on dual-curve construction : Mr. Crab's bootstrap
Baviera, Roberto; Cassaro, Alessandro - In: Applied mathematical finance 22 (2015) 1/2, pp. 105-132
Persistent link: https://www.econbiz.de/10010505154
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