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Multi-curve HJM modelling for risk management - MaRDI portal

Multi-curve HJM modelling for risk management (Q4554439)

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scientific article; zbMATH DE number 6979478
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English
Multi-curve HJM modelling for risk management
scientific article; zbMATH DE number 6979478

    Statements

    title
    Multi-curve HJM modelling for risk management (English)
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    author
    Chiara Sabelli
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    Michele Pioppi
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    Luca Sitzia
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    Giacomo Bormetti
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    publication date
    14 November 2018
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    zbMATH Keywords
    multiple-curve
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    scenario generation
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    Identifiers

    zbMATH DE Number
    6979478
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    OpenAlex ID
    W3121416979
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    arXiv ID
    1411.3977
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