Arbitrage-free Nelson-Siegel model for multiple yield curves

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Publication:2120601

DOI10.1007/s11579-021-00308-yzbMath1484.91493OpenAlexW3204369689MaRDI QIDQ2120601

Christoph Gerhart, Eva Lütkebohmert, Riccardo Brignone

Publication date: 1 April 2022

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-021-00308-y




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