Estimating LIBOR swaps spot-volatilities : the EpiVolatility model
Year of publication: |
2004
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Authors: | Bianchi, Stephen W. ; Wets, Roger J.-B. ; Yang, Liming |
Published in: |
Dynamic stochastic optimization : [this volume includes a selection of papers presented at the IFIP/IIASA/GAMM-Workshop on "Dynamic Stochastic Optimization" held at the International Institute for Systems Analysis (IIASA), Laxenburg, Austria, March 11 - 14, 2002]/ Kurt Marti ... (eds.). - Berlin : Springer, ISBN 3-540-40506-2. - 2004, p. 99-114
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Subject: | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Theorie | Theory |
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