Affine multiple yield curve models
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ernst Eberlein & Christoph Gerhart & Zorana Grbac, 2018. "Multiple curve L\'evy forward price model allowing for negative interest rates," Papers 1805.02605, arXiv.org.
- Henrik Dam & Andrea Macrina & David Skovmand & David Sloth, 2018. "Rational Models for Inflation-Linked Derivatives," Papers 1801.08804, arXiv.org, revised Mar 2018.
- repec:gam:jecnmx:v:6:y:2018:i:3:p:34-:d:158660 is not listed on IDEAS
- Claudio Fontana & Zorana Grbac & Sandrine Gumbel & Thorsten Schmidt, 2018. "Term structure modeling for multiple curves with stochastic discontinuities," Papers 1810.09882, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-03-10 (All new papers)
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