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Affine LIBOR models,Multiple curves,Discrete tenor,Continuous tenor,Interpolation,XVA,Model risk,91G30,91G20,60G44
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10.1186/s41546-017-0025-4
Probability, Uncertainty and Quantitative Risk
Probab Uncertain Quant Risk, doi:10.1186/s41546-017-0025-4
Affine LIBOR models
Multiple curves
Discrete tenor
Continuous tenor
Interpolation
XVA
Model risk
91G30
91G20
60G44
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
Antonis Papapantoleon
Robert Wardenga
2018-04-11T04:31:53+02:00
2018-04-03T19:51:50+08:00
LaTeX with hyperref package
2018-04-11T04:31:53+02:00
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Antonis Papapantoleon
http://orcid.org/0000-0002-9504-2822
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