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Q4554408 | |||||||||||||||
label / en | label / en | ||||||||||||||
description / en | description / en | ||||||||||||||
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Property / instance of: scholarly article / rank | |||||||||||||||
Property / title | |||||||||||||||
Property / title: Impact of multiple curve dynamics in credit valuation adjustments under collateralization (English) / rank | |||||||||||||||
Property / zbMATH Open document ID | |||||||||||||||
Property / zbMATH Open document ID: 1469.91058 / rank | |||||||||||||||
Property / DOI | |||||||||||||||
Property / DOI: 10.1080/14697688.2017.1339905 / rank | |||||||||||||||
Property / author | |||||||||||||||
Property / author: Giacomo Bormetti / rank | |||||||||||||||
Property / author | |||||||||||||||
Property / author: Damiano Brigo / rank | |||||||||||||||
Property / author | |||||||||||||||
Property / author: Marco Francischello / rank | |||||||||||||||
Property / author | |||||||||||||||
Property / author: Andrea Pallavicini / rank | |||||||||||||||
Property / published in | |||||||||||||||
Property / published in: Quantitative Finance / rank | |||||||||||||||
Property / publication date | |||||||||||||||
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Property / publication date: 3 September 2021 / rank | |||||||||||||||
Property / full work available at URL | |||||||||||||||
Property / full work available at URL: https://arxiv.org/abs/1507.08779 / rank | |||||||||||||||
Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 91G40 / rank | |||||||||||||||
Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 91G20 / rank | |||||||||||||||
Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 91G30 / rank | |||||||||||||||
Property / zbMATH DE Number | |||||||||||||||
Property / zbMATH DE Number: 7390930 / rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
Property / zbMATH Keywords: yield curve dynamics / rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
Property / zbMATH Keywords: multiple curve framework / rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
Property / zbMATH Keywords: HJM framework / rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
Property / zbMATH Keywords: interest rate derivatives / rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
Property / zbMATH Keywords: basis swaps / rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
Property / zbMATH Keywords: counterparty credit risk / rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
Property / zbMATH Keywords: liquidity risk / rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
Property / zbMATH Keywords: funding costs / rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
Property / zbMATH Keywords: collateral modeling / rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
Property / zbMATH Keywords: overnight rates / rank | |||||||||||||||
Latest revision as of 10:18, 6 May 2024
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