Christa Cuchiero

Independent

No Address Available

SCHOLARLY PAPERS

3

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CITATIONS
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7

Scholarly Papers (3)

1.

Affine Processes on Positive Semidefinite Matrices

Number of pages: 57 Posted: 04 Oct 2009 Last Revised: 08 Mar 2011
Independent, Ecole Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and Vienna University of Technology
Downloads 440 (63,606)
Citation 7

Abstract:

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affine process, stochastic correlation, term structure

2.

A General HJM Framework for Multiple Yield Curve Modeling

Number of pages: 40 Posted: 17 Jun 2014 Last Revised: 08 May 2015
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
Independent, Université Paris VII Denis Diderot and University of Verona - Department of Economics
Downloads 265 (112,857)

Abstract:

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Multi-Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Discounting Curve, Affine Processes

3.

Affine Multiple Yield Curve Models

Number of pages: 39 Posted: 28 Dec 2016 Last Revised: 16 Apr 2018
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
Independent, Université Paris VII Denis Diderot and University of Verona - Department of Economics
Downloads 101 (258,632)

Abstract:

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Multiple yield curves, Libor rate, forward rate agreement, multiplicative spread, affine processes