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Quantitative Finance Volume 14, 2014 - Issue 2: Themed Issue on Pensions and Insurance
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Parsimonious HJM modelling for multiple yield curve dynamics

N. Moreni Banca IMI, Largo Mattioli 3, Milano, 20121, ItalyCorrespondence[email protected]
&
A. Pallavicini Banca IMI, Largo Mattioli 3, Milano, 20121, Italy; Imperial College London, 180 Queen’s Gate, London, SW7 2AZ, UK
Pages 199-210 | Received 30 Nov 2010, Accepted 18 Jul 2013, Published online: 18 Dec 2013

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Tobias Bienek, Griselda Deelstra, Andreas Lichtenstern & Rudi Zagst. (2023) A multi-curve HJM factor model for pricing and risk management. Quantitative Finance 23:11, pages 1659-1675.
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Stéphane Crépey, Zorana Grbac, Nathalie Ngor & David Skovmand. (2015) A Lévy HJM multiple-curve model with application to CVA computation. Quantitative Finance 15:3, pages 401-419.
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THE ANH NGUYEN & FRANK THOMAS SEIFRIED. (2015) THE MULTI-CURVE POTENTIAL MODEL. International Journal of Theoretical and Applied Finance 18:07, pages 1550049.
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The Anh Nguyen & Frank Thomas Seifried. (2014) The Multi-Curve Potential Model. SSRN Electronic Journal.
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