Search Results - subject:"multi-curve framework"

A comparison of artificial neural networks and bootstrap aggregating ensembles in a modern financial derivative pricing framework

Du Plooy, Ryno; Venter, Pierre J. - In: Journal of Risk and Financial Management 14 (2021) 6, pp. 1-18

estimates within the error bounds of a Monte Carlo simulation when pricing derivatives in a multi-curve framework setting. …

Persistent link: https://www.econbiz.de/10012611811

A comparison of artificial neural networks and bootstrap aggregating ensembles in a modern financial derivative pricing framework

Du Plooy, Ryno; Venter, Pierre J. - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18

estimates within the error bounds of a Monte Carlo simulation when pricing derivatives in a multi-curve framework setting. …

Persistent link: https://www.econbiz.de/10012588109

LIBOR fallback and quantitative finance

Henrard, Marc Pierre - In: Risks 7 (2019) 3, pp. 1-15

With the expected discontinuation of the LIBOR publication, a robust fallback for related financial instruments is paramount. In recent months, several consultations have taken place on the subject. The results of the first ISDA consultation have been published in November 2018 and a new one...

Persistent link: https://www.econbiz.de/10013200506

LIBOR fallback and quantitative finance

Henrard, Marc Pierre - In: Risks : open access journal 7 (2019) 3/88, pp. 1-15

Persistent link: https://www.econbiz.de/10012126483