Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR

Published:2011 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bianchetti Marco,Carlicchi Mattia

Publisher

Elsevier BV

Reference46 articles.

1. Liquidity Risk Theory and Coherent Measures of Risk;C Acerbi;SSRN working paper,2007

2. Rates Curves for Forward Euribor Estimation and CSA-Discounting;F M Ametrano;QuantLib Forum,2011

3. Bootstrapping The Illiquidity: Multiple Curve Construction For Coherent Forward Rates Estimation;F M Ametrano;Modelling Interest Rates: Latest Advances for Derivatives Pricing,2009

4. Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis

5. Two Curves, One Price;M Bianchetti;Risk Magazine,2010

Cited by 21 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. Cross-Currency Basis Spread and Its Impact on Corporate Lending Rates in the Czech Banking Sector;Prague Economic Papers;2020-11-27

2. Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model;Quantitative Finance;2020-04-07

3. Fair prices under a unified lattice approach for interest rate derivatives;Annals of Operations Research;2019-04-05

4. A Multicurve Cross-Currency LIBOR Market Model;Journal of Applied Mathematics;2019-03-10

5. Term Structure Models with Unspanned Factors and Unspanned Stochastic Volatility;SSRN Electronic Journal;2018

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