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"Convexity adjustment for constant maturity swaps in a multi-curve framework."

Nikolaos Karouzakis, John Hatgioannides, Kostas Andriosopoulos (2018)

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DOI: 10.1007/S10479-017-2430-6

access: open

type: Journal Article

metadata version: 2020-08-13

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  - journals/anor/KarouzakisHA18
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  - https://dblp.org/rec/journals/anor/KarouzakisHA18
Nikolaos Karouzakis, John Hatgioannides, Kostas Andriosopoulos:
Convexity adjustment for constant maturity swaps in a multi-curve framework. Ann. Oper. Res. 266(1-2): 159-181 (2018)

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