Arbitrage-free Nelson-Siegel model for multiple yield curves
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Publication:2120601
DOI10.1007/s11579-021-00308-yzbMath1484.91493MaRDI QIDQ2120601
Eva Lütkebohmert, Riccardo Brignone, Christoph Gerhart
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
91G30: Interest rates, asset pricing, etc. (stochastic models)