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Affine multiple yield curve models - MaRDI portal

Affine multiple yield curve models (Q5377184)

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scientific article; zbMATH DE number 7058333
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English
Affine multiple yield curve models
scientific article; zbMATH DE number 7058333

    Statements

    title
    Affine multiple yield curve models (English)
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    author
    Christa Cuchiero
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    Claudio Fontana
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    Alessandro Gnoatto
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    publication date
    23 May 2019
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    zbMATH Keywords
    affine processes
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    forward rate agreement
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    Libor rate
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    multiple yield curves
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    multiplicative spread
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    Identifiers

    DOI
    10.1111/mafi.12183
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    zbMATH DE Number
    7058333
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    OpenAlex ID
    W2289342452
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    arXiv ID
    1603.00527
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    Wikidata QID
    Q129367797
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