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THEORY AND CALIBRATION OF SWAP MARKET MODELS - MaRDI portal

THEORY AND CALIBRATION OF SWAP MARKET MODELS (Q3446061)

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scientific article
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English
THEORY AND CALIBRATION OF SWAP MARKET MODELS
scientific article

    Statements

    title
    THEORY AND CALIBRATION OF SWAP MARKET MODELS (English)
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    publication date
    8 June 2007
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    zbMATH Keywords
    swap market model
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    cap
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    swaption
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    calibration
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    graph theory
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    Identifiers

    Mathematics Subject Classification ID
    91B26
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    91G20
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    05C90
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    90C35
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    91G30
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    zbMATH DE Number
    5163054
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    OpenAlex ID
    W3125632163
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