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Affine process
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Fontana, Claudio
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Multiple yield curve modelling with CBI processes
Fontana, Claudio
;
Gnoatto, Alessandro
;
Szulda, Guillaume
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 579-610
Persistent link: https://www.econbiz.de/10012586190
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2
Term structure modelling for multiple curves with stochastic discontinuities
Fontana, Claudio
;
Grbac, Zorana
;
Gümbel, Sandrine
; …
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 465-511
Persistent link: https://www.econbiz.de/10012253393
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