Optimal calibration of LIBOR market models to correlations
Year of publication: |
2004
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Authors: | Weigel, Peter |
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. 12.2004, 2, p. 43-50
|
Subject: | Geldmarkt | Money market | Swap | Nichtparametrisches Verfahren | Nonparametric statistics | Zinsstruktur | Yield curve |
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