Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
Crossref DOI link: https://doi.org/10.1186/s41546-017-0025-4
Published Online: 2018-01-10
Published Print: 2018-12
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Papapantoleon, Antonis http://orcid.org/0000-0002-9504-2822
Wardenga, Robert
Funding for this research was provided by:
Deutsche Forschungsgemeinschaft (ZUK 64)
Europlace Institute of Finance
License valid from 2018-01-10