A multi-quality model of interest rates
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kijima, Masaaki & Motomiya, Shin-ichi & Suzuki, Yoichi, 2010. "Pricing of CDOs based on the multivariate Wang transform," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2245-2258, November.
- Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand, 2015. "Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments," Papers 1502.07397, arXiv.org.
- Jean-Paul Laurent & Philippe Amzelek & Joe Bonnaud, 2014. "An overview of the valuation of collateralized derivative contracts," Review of Derivatives Research, Springer, vol. 17(3), pages 261-286, October.
- Laura Morino & Wolfgang J. Ruggaldier, 2014. "On multicurve models for the term structure," Papers 1401.5431, arXiv.org.
- Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016.
"A general HJM framework for multiple yield curve modelling,"
Finance and Stochastics,
Springer, vol. 20(2), pages 267-320, April.
- Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014. "A general HJM framework for multiple yield curve modeling," Working Papers hal-01011752, HAL.
- Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014. "A general HJM framework for multiple yield curve modeling," Papers 1406.4301, arXiv.org, revised May 2015.
- Yang Chang, 2014. "A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 18, June.
- Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Papers 1801.04994, arXiv.org, revised Feb 2018.
- Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization," Papers 1507.08779, arXiv.org, revised Sep 2015.
- Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
- Yang Chang & Erik Schlogl, 2014. "A Consistent Framework for Modelling Basis Spreads in Tenor Swaps," Research Paper Series 348, Quantitative Finance Research Centre, University of Technology, Sydney.
- The Anh Nguyen & Frank Thomas Seifried, 2015. "The Multi-Curve Potential Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-32, November.
- Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "Affine multiple yield curve models," Papers 1603.00527, arXiv.org, revised Feb 2017.
- Zorana Grbac & Laura Meneghello & Wolfgang J. Runggaldier, 2015. "Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model," Papers 1512.03259, arXiv.org, revised Jun 2016.
- Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
More about this item
KeywordsInterest rates; Pricing model; Yield curves;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:9:y:2009:i:2:p:133-145. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RQUF20 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.