Chiara Sabelli

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

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Multi-Curve HJM Modelling for Risk Management

Number of pages: 63 Posted: 16 Nov 2014 Last Revised: 08 Oct 2015
Scuola Normale Superiore, UniCredit S.p.A., UniCredit S.p.A. and University of Bologna - Department of Mathematics
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Citation 1

Abstract:

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HJM, multiple-curve, scenario generation, PCA