2 papers
q-fin.RM2014
Multi-curve HJM modelling for risk management
Chiara Sabelli, Michele Pioppi, Luca Sitzia +1
We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since w…
physics.flu-dyn2013
Survival distribution of the stretching and tilting of vortical structures in isotropic turbulence. Anisotropic filtering analysis
Daniela Tordella, Luca Sitzia, Silvio Di Savino
Using a Navier-Stokes isotropic turbulent field numerically simulated (Biferale et al., Phys. Fluids (2005)), we show that the probability of having a stretching-tilting larger tha…