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Multi-curve HJM modelling for risk management |
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| Authors: | Chiara Sabelli Michele Pioppi Luca Sitzia Giacomo Bormetti |
| Institution: | 1. Scuola Normale Superiore, Piazza dei Cavalieri 7, Pisa, 56126Italy.;2. UniCredit S.p.A., Piazza Gae Aulenti, Milano, 20154Italy.;3. QUANTLab, via Pietrasantina 123, Pisa, 56122Italy. |
| Abstract: | |
| Keywords: | HJM Multiple-curve Scenario generation PCA |