Author:
Fontana Claudio,Gnoatto Alessandro,Szulda Guillaume
Funder
Europlace Institute of Finance
Università degli Studi di Padova
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Reference49 articles.
1. Asmussen, S., Rosinski, J.: Approximations of small jumps of Lévy processes with a view towards simulation. J. Appl. Probab. 38(2), 482–493 (2001)
2. Bianchetti, M., Morini, M. (eds.): Interest Rate Modelling After the Financial Crisis. Risk Books, London (2013)
3. Crépey, S., Douady, R.: Lois: Credit and Liquidity, pp. 82–86. Risk Magazine, London (2013)
4. Collin-Dufresne, P., Solnik, B.: On the term structure of default premia in the swap and libor markets. J. Finance 56(3), 1095–1115 (2001)
5. Cuchiero, C., Fontana, C., Gnoatto, A.: A general HJM framework for multiple yield curve modeling. Finance Stoch. 20(2), 267–320 (2016)
Cited by
8 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