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Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo, Brigo, Damiano, Francischello, Marco, Pallavicini, AndreaLanguage:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2017.1339905
Date:
July, 2017
File:
PDF, 2.32 MB
english, 2017