"Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration."

Zorana Grbac et al. (2015)

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DOI: 10.1137/15M1011731

access: closed

type: Journal Article

metadata version: 2017-05-17

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Zorana Grbac, Antonis Papapantoleon, John Schoenmakers, David Skovmand:
Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration. SIAM J. Financial Math. 6(1): 984-1025 (2015)

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