Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Damiano Brigo and Massimo Morini
| Year of publication: |
2006
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|---|---|
| Authors: | Brigo, Damiano ; Morini, Massimo |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 14.2006, 1, p. 40-60
|
| Subject: | Swap | Black-Scholes-Modell | Black-Scholes model | Theorie | Theory | Zinsstruktur | Yield curve |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003379121