Guillaume Szulda

University Paris Diderot, Sorbonne Paris Cité

Paris

France

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Multiple Yield Curve Modelling With CBI Processes

Number of pages: 29 Posted: 18 Nov 2019
Claudio Fontana, Alessandro Gnoatto and Guillaume Szulda
Université Paris VII Denis Diderot, University of Verona - Department of Economics and University Paris Diderot, Sorbonne Paris Cité
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Abstract:

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Branching Process, Self-Exciting Process, Multi-Curve Model, Interest Rate, Libor Rate, OIS Rate, Multiplicative Spread, Affine Process