Piazzadi Porta San Donato, 5
Bologna, 40126
Italy
University of Bologna - Department of Mathematics
CVA, DVA, FVA, CollVA, xVA, EPE, PFE, Basel III, Collateral
Term Structure, Overnight Indexed Swap, Long-Term Yield, Long-Term Simple Rate, Long-Term Swap Rate
HJM, Affine Process, Long-Term Yield, Yield Curve, Wishart Process.