On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
Riccardo Rebonato
| Year of publication: |
1999
|
|---|---|
| Authors: | Rebonato, Riccardo |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 2.1999, 4, p. 5-27
|
| Subject: | Zinsderivat | Interest rate derivative | Volatilität | Volatility | Theorie | Theory |
| Extent: | Graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: The journal of computational finance |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001517294