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Staying at zero with affine processes : an application to term structure modelling
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - 2015
Persistent link: https://www.econbiz.de/10011305204
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Affine modeling of credit risk, pricing of credit events and contagion
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - 2019 - This version: December 2019
Persistent link: https://www.econbiz.de/10012237594
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A quadratic Kalman filter
Monfort, Alain; Renne, Jean-Paul; Roussellet, Guillaume - 2014
Persistent link: https://www.econbiz.de/10010438259
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Credit and liquidity in interbank rates : a quadratic approach
Dubecq, Simon; Monfort, Alain; Renne, Jean-Paul; … - 2013
Persistent link: https://www.econbiz.de/10009790707