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LIBOR : Don't Fallback, Step F...
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Yield curve
explicit formula
5
HJM model
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Zinsstruktur
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Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options
Henrard, Marc
- In:
Journal of risk
9
(
2006/07
)
4
,
pp. 95-116
Persistent link: https://www.econbiz.de/10003502689
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2
Irony in derivative discounting : after the crisis
Henrard, Marc
- In:
Interest rate modelling after the financial crisis
,
(pp. 217-239)
.
2013
Persistent link: https://www.econbiz.de/10011456981
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3
CMS, CMS spreads and similar options in the multi-factor HJM framework
Hanton, Pierre
;
Henrard, Marc
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009685893
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4
Interest rate modelling in the multi-curve framework : foundations, evolution and implementation
Henrard, Marc
-
2014
Persistent link: https://www.econbiz.de/10011699699
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