Forward-rate volatilities and the swaption matrix : why neither time-homogeneity nor time-dependence are enough
Year of publication: |
2006
|
---|---|
Authors: | Rebonato, Riccardo |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 9.2006, 5, p. 705-746
|
Subject: | Swap | Derivat | Derivative | Volatilität | Volatility |
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