"Proxying credit curves via Wasserstein distances."

Matteo Michielon, Asma Khedher, Peter Spreij (2024)

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DOI: 10.1007/S10479-022-04552-3

access: open

type: Journal Article

metadata version: 2024-08-04

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Matteo Michielon, Asma Khedher, Peter Spreij:
Proxying credit curves via Wasserstein distances. Ann. Oper. Res. 336(1-2): 1351-1367 (2024)

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