Low-dimensional Modeling of Collateralized Term Structure with Non-Gaussian Dynamics for Centrally-cleared Interest Rate Swaptions

Project: Research

1 - 1 out of 1Page size: 20

Research Output

  1. 2018

  2. Persistence and Procyclicality in Margin Requirements

    Glasserman, P. & Wu, Q., Dec 2018, In: Management Science. 64, 12, p. 5705-5724

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 18
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