New and robust drift approximations for the Libor market model
Mark Joshi and Alan Stacey
| Year of publication: |
2006
|
|---|---|
| Other Persons: | Joshi, Mark S. (contributor) ; Stacey, Alan (contributor) |
| Publisher: |
Parkville, Vic. : Centre for Actuarial Studies |
| Subject: | Theorie | Theory | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative |
| Extent: | Online-Ressource, 16 S., Text graph. Darst. |
|---|---|
| Series: | Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne. - Melbourne, ZDB-ID 2412374-2. - Vol. 140 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003297300