Copenhagen, København DK-1165
University of Copenhagen
Roll-Over Risk, Multi-Curve Interest Rate Term Structure, OIS, IBOR, LIBOR Transition, Basis Swaps, Calibration
SOFR, LIBOR, Futures, Arbitrage-Free Nelson-Siegel, Term Structure Models
LIBOR, SOFR, SONIA, Rational Term Structure Models, Swaptions, Caplets, Futures.
Inflation-linked derivatives, rational term structure models, convexity adjustment, calibration, pricing kernels, year-on-year swap, limited price index
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