P.zza L. da Vinci, 32
Polytechnic University of Milan - Department of Mathematics
in Total Papers Downloads
Term structure of interest rates, Bond Option, Cap/Floor, Swaption
Bermudan options, Callable products, HJM framework
Bootstrap, Dual curve, FRA, STIR Future, Swap
Stochastic volatility, Cap/Floor, Multifactor interest rate model, Bond Market Model
Option Prices, Transaction Costs
bank regulation, stress test, capital, sovereign risk, European Central Bank
Credit Value Adjustment, Basel III CVA Capital Charges, path dependency valuation, model calibration
Seasonality, NIG, natural gas, temperature forecasting, statistical bootstrap
Financial stress index, Unconventional measures, Asset Swap, EONIA, Term structure of credit spread, Peripheral euro government bonds, Time to Structural Change, Macroprudential policy
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density forecast; middle term; electricity consumption; machine learning; artificial neural network.
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