Kriging of financial term-structures (Q323575)

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Kriging of financial term-structures
scientific article

    Statements

    title
    Kriging of financial term-structures (English)
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    author
    Areski Cousin
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    Hassan Maatouk
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    Didier Rullière
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    publication date
    7 October 2016
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    zbMATH Keywords
    model risk
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    interest-rate curve
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    OIS discount curve
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    implied default distribution
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    Kriging
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    62P05
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    91G20
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    91G30
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    zbMATH DE Number
    6636576
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