Christa Cuchiero

University of Vienna - Faculty of Science and Mathematics

Vienna

Austria

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Affine Multiple Yield Curve Models

Mathematical Finance, Vol. 29, Issue 2, pp. 568-611, 2019
Number of pages: 44 Posted: 13 Mar 2019
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
University of Vienna - Faculty of Science and Mathematics, Université Paris VII Denis Diderot and University of Verona - Department of Economics
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Abstract:

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