Christa Cuchiero

Independent

No Address Available

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 49,014

SSRN RANKINGS

Top 49,014

in Total Papers Downloads

810

CITATIONS
Rank 42,199

SSRN RANKINGS

Top 42,199

in Total Papers Citations

11

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 (64,548)
Citation 3

Abstract:

Loading...

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 268 (113,131)
Citation 4

Abstract:

Loading...

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 102 (260,335)
Citation 3

Abstract:

Loading...

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