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Multiple curve interest rate modelling

Units : Actuarial sciences | ULB454

Description :

The aim of this project is to develop a multiple curve interest rate model that combines tractable model dynamics and
semi-analytic pricing formulas with positive interest rates, based on positive multiplicative spreads.

List of persons in charge :

  • DEELSTRA Griselda

List of lessors :

  • Financement de base institutionnel