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A general HJM framework for multiple yield curve modelling
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro - In: Finance and stochastics 20 (2016) 2, pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
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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