Concepedia

Multi-curve Framework

Multi-Curve Framework is a valuation methodology in interest rate derivatives pricing that, in contrast to single-curve approaches, employs separate yield curves for discounting cash flows and projecting forward interest rates to account for market observed basis spreads and credit risk differentials.

22

Publications

722

Citations

47

Authors

33

Institutions

Publications per year

2017–2026

8

Variants

Multi-curve PricingMulti-curve Valuation

Parents

Publications

22

BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING

Stéphane Crépey · Mathematical Finance · 2012 · 137 citations · Full text

, , +12

Identifying elephant photos by multi-curve matching

Alessandro Ardovini, Luigi Cinque, Enver Sangineto · Pattern Recognition · 2007 · 73 citations · Full text

, , +11

A multiple-curve HJM model of interbank risk

Stéphane Crépey, Zorana Grbac, Hai-Nam Nguyen · Mathematics and Financial Economics · 2012 · 70 citations

, , +14

Interest-Rate Modeling with Multiple Yield Curves

Andrea Pallavicini, Marco Tarenghi · SSRN Electronic Journal · 2010 · 42 citations · Full text

, , +9

Bearing fault diagnosis method with unknown variable speed based on multi-curve extraction and selection

Chang Liu, Gang Cheng, Bing Liu et al. · Measurement · 2019 · 42 citations

, , +12

1–5 of 22

Authors

47

  1. DS
    David Skovmand

    University of Cape Town, South Africa

    5 publications · 123 citations

    5

    h-index

  2. SC
    Stéphane Crépey

    Université d'Évry Val-d'Essonne, France

    4 publications · 265 citations

    4

    h-index

  3. AM
    Andrea Macrina

    University of Cape Town, South Africa

    4 publications · 65 citations

    4

    h-index

  4. ZG
    Zorana Grbac

    Université d'Évry Val-d'Essonne, France

    3 publications · 143 citations

    3

    h-index

  5. MH
    Marc Henrard

    University College London, United Kingdom

    3 publications · 44 citations

    3

    h-index

1–5 of 47

Institutions

33

  1. University College London

    London, United Kingdom

    7 h-index

    7 publications

    109 citations

  2. University of Cape Town

    Rondebosch, South Africa

    4 h-index

    7 publications

    116 citations

  3. Université d'Évry Val-d'Essonne

    Évry-Courcouronnes, France

    4 h-index

    8 publications

    463 citations

  4. University of Copenhagen

    Copenhagen, Denmark

    2 h-index

    2 publications

    30 citations

  5. Copenhagen Business School

    Copenhagen, Denmark

    2 h-index

    2 publications

    58 citations

  6. Universität Trier

    Trier, Germany

    1 h-index

    1 publications

    20 citations

  7. Centre National de la Recherche Scientifique

    Paris, France

    1 h-index

    3 publications

    105 citations

  8. University of Padua

    Padua, Italy

    1 h-index

    2 publications

    46 citations

1–8 of 33

Venues

  1. SSRN Electronic Journal

    Repository · 5 publications · 107 citations

    5

    h-index

  2. Quantitative Finance

    3 publications · 81 citations

    3

    h-index

  3. Risks

    2 publications · 27 citations

    2

    h-index

  4. SIAM Journal on Financial Mathematics

    1 publications · 35 citations

    1

    h-index

  5. arXiv (Cornell University)

    Repository · 1 publications · 12 citations

    1

    h-index

1–5