"A defaultable HJM modelling of the Libor rate for pricing Basis Swaps ..."

Viviana Fanelli (2016)

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DOI: 10.1016/J.EJOR.2015.08.031

access: closed

type: Journal Article

metadata version: 2020-02-21

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Viviana Fanelli:
A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch. Eur. J. Oper. Res. 249(1): 238-244 (2016)

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