MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE (Q3523551)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE |
scientific article |
Statements
MARKOV MARKET MODEL CONSISTENT WITH CAP SMILE (English)
0 references
3 September 2008
0 references
interest rate term structure
0 references
HJM theory
0 references
market models
0 references
BGM models
0 references
implied libor trees
0 references
