A Note on Dual-Curve Construction: Mr. Crab’s Bootstrap

DOI10.1080/1350486X.2014.959665zbMath1396.91778MaRDI QIDQ4682476

Alessandro Cassaro, Roberto Baviera

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

bootstrapconvexity adjustmentsdual-curve constructionSTIR futures

Mathematics Subject Classification ID

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

Related Items (2)

CVA with Wrong-Way Risk in the Presence of Early Exercise ⋮ BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL

Cites Work

• A practical guide to splines
• Interpolation Methods for Curve Construction
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities
• BOND MARKET MODEL

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