A multiple-curve HJM model of interbank risk

Mathematics and Financial Economics 2012 / 06 Vol. 6; Iss. 3

A multiple-curve HJM model of interbank risk

Stéphane Crépey, Zorana Grbac, Hai-Nam Nguyen
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Volume:
6
Language:
english
DOI:
10.1007/s11579-012-0083-4
Date:
June, 2012
File:
PDF, 464 KB
english, 2012
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