On multicurve models for the term structure
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References listed on IDEAS
- Masaaki Kijima & Keiichi Tanaka & Tony Wong, 2009. "A multi-quality model of interest rates," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 133-145.
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- Marco Bianchetti, 2009. "Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves," Papers 0905.2770, arXiv.org, revised Jul 2012.
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- Gallitschke, Janek & Seifried (née Müller), Stefanie & Seifried, Frank Thomas, 2017. "Interbank interest rates: Funding liquidity risk and XIBOR basis spreads," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 142-152.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-02 (All new papers)
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