A general HJM framework for multiple yield curve modelling

Publication: Scientific journal › Journal article › peer-review

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@article{5957f5eaba7e4a65bee6ab4ba9e58b0f,

title = "A general HJM framework for multiple yield curve modelling",

author = "Christa Cuchiero and Claudio Fontana and Alessandro Gnoatto",

year = "2016",

doi = "10.1007/s00780-016-0291-5",

language = "English",

volume = "20",

pages = "267 -- 320",

journal = "Finance and Stochastics",

issn = "0949-2984",

publisher = "Springer Verlag",

number = "2",

}

TY - JOUR

T1 - A general HJM framework for multiple yield curve modelling

AU - Cuchiero, Christa

AU - Fontana, Claudio

AU - Gnoatto, Alessandro

PY - 2016

Y1 - 2016

UR - https://arxiv.org/abs/1406.4301

U2 - 10.1007/s00780-016-0291-5

DO - 10.1007/s00780-016-0291-5

M3 - Journal article

SN - 0949-2984

VL - 20

SP - 267

EP - 320

JO - Finance and Stochastics

JF - Finance and Stochastics

IS - 2

ER -