Multi-curve HJM modelling for risk management

DOI10.1080/14697688.2017.1355104zbMath1400.91633arXiv1411.3977OpenAlexW3121416979MaRDI QIDQ4554439

Chiara Sabelli, Luca Sitzia, Michele Pioppi, Giacomo Bormetti

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.3977

zbMATH Keywords

scenario generationmultiple-curve

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model, Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling

Uses Software

• Flury

Cites Work

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