2, place Jussieu
Université Paris VII Denis Diderot
in Total Papers Citations
interest rate derivative, multiple-curve term structure model, Levy process, credit valuation adjustment (CVA), funding
collateralized debt obligations, loss process, single tranche CDO, top-down model, market model, time-inhomogeneous Levy processes, Libor rate, forward measure, affine processes, extended Kalman filter, iTraxx
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multiple yield curves, forward price model, negative interest rates, time‐inhomogeneous Lévy processes, Libor‐OIS spread
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