An efficient lattice algorithm for the libor market model
Year of publication: |
2011-06-18
|
---|---|
Authors: | Tim, Xiao |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | LIBOR Market Model | LMM | BGM | lattice model | tree model | shifted forward measure | drift approximation | risk management | calibration | callable exotics | callable bond | callable capped floater swap | callable inverse floater swap | callable range accrual swap |
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