Guillaume Szulda

University Paris Diderot, Sorbonne Paris Cité

Paris

France

SCHOLARLY PAPERS

1

DOWNLOADS

31

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Multiple Yield Curve Modelling With CBI Processes

Number of pages: 29 Posted: 18 Nov 2019
Claudio Fontana, Alessandro Gnoatto and Guillaume Szulda
University of Padova, Department of Mathematics, University of Verona - Department of Economics and University Paris Diderot, Sorbonne Paris Cité
Downloads 31 (502,209)

Abstract:

Loading...

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