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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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CBI-time-changed Lévy processes for multi-currency modeling
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume - 2021
Persistent link: https://www.econbiz.de/10013347432
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CBI-time-changed Lévy processes
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume - 2022
Persistent link: https://www.econbiz.de/10013347447