Convexity adjustment for constant maturity swaps in a multi-curve framework
Crossref DOI link: https://doi.org/10.1007/s10479-017-2430-6
Published Online: 2017-03-06
Published Print: 2018-07
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Karouzakis, Nikolaos http://orcid.org/0000-0002-8862-0196
Hatgioannides, John
Andriosopoulos, Kostas
Funding for this research was provided by:
University of Sussex
License valid from 2017-03-06