Nicholas Bertocchi

Banca IMI

Quantitative Analyst

Corso Matteotti 6

20121 Milano, 20100

Italy

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Scholarly Papers (1)

1.

Advanced EONIA Curve Calibration

Number of pages: 15 Posted: 08 Dec 2016
Ferdinando M. Ametrano, Nicholas Bertocchi and Paolo Mazzocchi
Digital Gold Institute, Banca IMI and Deloitte
Downloads 342 (86,138)

Abstract:

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forward rates, Euribor, Eonia, yield curve, discount curve, bootstrapping, OIS, turn of year, jumps, interpolation, QuantLib