Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options
Marc Henrard
| Year of publication: |
2007
|
|---|---|
| Authors: | Henrard, Marc |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 9.2006/07, 4, p. 95-116
|
| Subject: | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003502689