An almost Markovian LIBOR market model calibrated to caps and swaptions (Q5247275)
From MaRDI portal
scientific article; zbMATH DE number 6429540
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An almost Markovian LIBOR market model calibrated to caps and swaptions |
scientific article; zbMATH DE number 6429540 |
Statements
An almost Markovian LIBOR market model calibrated to caps and swaptions (English)
0 references
23 April 2015
0 references
term structure
0 references
interest rate derivatives
0 references
volatility modelling
0 references
correlation structures
0 references
local volatility theory
0 references
correlation modelling
0 references
multi-factor models
0 references
0 references
0 references
