Guillaume Szulda

University Paris Diderot, Sorbonne Paris Cité

Paris

France

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Scholarly Papers (1)

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Multiple yield curve modelling with CBI processes

Number of pages: 29
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.