Stable implied calibration of a multi-factor LIBOR model via a semi-parametric correlation structure

JGM Schoenmakers, B Coffey

Research output: Book/ReportReportScientific

Original languageUndefined/Unknown
Place of PublicationBerlin
PublisherWeierstraß-Institut für Angewandte Analysis und Stochastik
Number of pages16
Publication statusPublished - 2000

Publication series

Name
PublisherWeierstraß-Institut für Angewandte Analysis und Stochastik

Keywords

  • ZX Int.klas.verslagjaar < 2002

Cite this

Schoenmakers, JGM., & Coffey, B. (2000). Stable implied calibration of a multi-factor LIBOR model via a semi-parametric correlation structure. Weierstraß-Institut für Angewandte Analysis und Stochastik.