67 citations · 67 across the 1 of their papers we have counts for
2 papers
q-fin.MF2016
Affine multiple yield curve models
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, ca…
q-fin.MF2014★ 67 cited
A general HJM framework for multiple yield curve modeling
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approac…