19 citations · 53 across the 22 of their papers we have counts for
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q-fin.PR2015
The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
Francesca Biagini, Alessandro Gnoatto, Maximilian Härtel
We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the…
q-fin.MF2015★ 4 cited
A Unified Approach to Systemic Risk Measures via Acceptance Sets
Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli +1
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the…