no code implementations • 2 Mar 2021 • Sandrine Gümbel, Thorsten Schmidt
We consider a market with a term structure of credit risky bonds in the single-name case.
no code implementations • 16 Apr 2020 • Sandrine Gümbel, Thorsten Schmidt
We find very good results for the single curve markets and many challenges for the multi curve markets in a Vasicek framework.