collaborators

1 paper

q-fin.MF2015

Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments

Stephane Crepey, Andrea Macrina, Tuyet Mai Nguyen +1

We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and…