Author:
Cuchiero Christa,Fontana Claudio,Gnoatto Alessandro
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Reference58 articles.
1. Ametrano, F.M., Bianchetti, M.: Everything you always wanted to know about multiple interest rate curve bootstrapping but were afraid to ask (2013). Preprint available at http://ssrn.com/abstract=2219548
2. Bianchetti, M.: Two curves, one price. Risk Magazine, 74–80 (2010)
3. Bielecki, T., Rutkowski, M.: Valuation and hedging of contracts with funding costs and collateralization. SIAM J. Financ. Math. 6, 594–655 (2015)
4. Brace, A., Gątarek, D., Musiela, M.: The market model of interest rate dynamics. Math. Finance 7, 127–155 (1997)
5. Brigo, D., Mercurio, F.: A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models. Finance Stoch. 5, 369–387 (2001)
Cited by
54 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献