Interest-Rate Modelling in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects, CCPs-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Interest-Rate Modelling in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects, CCPs

Published:2013 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Pallavicini Andrea,Brigo Damiano

Publisher

Elsevier BV

Reference48 articles.

1. Bootstrapping the illiquidity: Multiple yield curves construction for market coherent forward rates estimation;M Ametrano;Modeling Interest Rates: Latest Advances for Derivatives Pricing. Risk Books,2009

2. Volatile volatilities;L Andersen;Risk Magazine,2002

3. Stochastic Volatility for Real

4. Generalised vasicek models of the term structure;S Babbs;Applied Stochastic Models and Data Analysis,1993

Cited by 18 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

1. Risk-Based Overnight-Linked Futures Design;SSRN Electronic Journal;2018

2. Hybrid Model: A Dynamic Multi-Curve Framework;SSRN Electronic Journal;2018

3. Implications of implicit credit spread volatilities on interest rate modelling;European Journal of Operational Research;2017-12

4. Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data;Financial Markets and Portfolio Management;2016-11

5. Nonlinear Valuation under Margining and Funding Costs with Residual Credit Risk: A Unified Approach;Handbook of Fixed-Income Securities;2016-04-01

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP