A flexible matrix Libor model with smiles (Q318337)
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scientific article; zbMATH DE number 6632732
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A flexible matrix Libor model with smiles |
scientific article; zbMATH DE number 6632732 |
Statements
A flexible matrix Libor model with smiles (English)
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5 October 2016
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affine processes
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Wishart process
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Libor market model
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fast Fourier transform
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caps
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floors
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swaptions
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