An arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management

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Date
2012-01Dewey
Economie financièreSujet
HJM modeling; Assets and Liability Management; CalibrationJEL code
G12; G23Journal issue
Bankers, Markets & InvestorsNumber
116Publication date
01-2012Article pages
4-19Publisher
Revue-BanqueCollections
Metadata
Show full item recordAuthor
Vialas, Christine
Touzi, Nizar
Aïd, René