Recommendations
Cites work
- A positive interest rate model with sticky barrier
- A Simplex Method for Function Minimization
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- A tractable yield-curve model that guarantees positive interest rates
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- An equilibrium characterization of the term structure
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Cited in
(34)- Convexity adjustment for constant maturity swaps in a multi-curve framework
- Dual-curve Hull-White interest rate model with stochastic volatility
- Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis
- A multiple-curve HJM model of interbank risk
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