Multi-Curve Framework with Collateral-Reference-Cited by-同舟云学术

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Multi-Curve Framework with Collateral

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

Author:

Henrard Marc P. A.

Publisher

Elsevier BV

Reference56 articles.

1. Modeling Interest Rate, chapter Bootstrapping the illiquidity: Multiple yield curves construction for market coherent forward rates estimation;F Ametrano;Risk Books, Incisive Media,2009

2. The pricing of options and corporate liabilities;F Black;Journal of Political Economy,1973

Cited by 2 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. Multi-Curves Framework with Stochastic Spread: A Coherent Approach to Stir Futures and Their Options;SSRN Electronic Journal;2013

2. Multi-Curve Framework with Collateral;SSRN Electronic Journal;2013

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