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Arbitrage-free Nelson-Siegel model for multiple yield curves
Brignone, Riccardo
;
Gerhart, Christoph
; …
- In:
Mathematics and financial economics
16
(
2022
)
2
,
pp. 239-266
Persistent link: https://www.econbiz.de/10013167786
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A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
Bernis, Guillaume
;
Brignone, Riccardo
;
Scotti, Simone
; …
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 747-773
Persistent link: https://www.econbiz.de/10012616856
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