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

JGM Schoenmakers, B Coffey

Research output: Book/Report › Report › Scientific

Original language	Undefined/Unknown
Place of Publication	Berlin
Publisher	Weierstraß-Institut für Angewandte Analysis und Stochastik
Number of pages	16
Publication status	Published - 2000

Name
Publisher	Weierstraß-Institut für Angewandte Analysis und Stochastik

Preprint 611

Keywords

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author = "JGM Schoenmakers and B Coffey",

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TY - BOOK

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AU - Schoenmakers, JGM

AU - Coffey, B

N1 - Preprint 611

PY - 2000

Y1 - 2000

KW - ZX Int.klas.verslagjaar < 2002

M3 - Report

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

PB - Weierstraß-Institut für Angewandte Analysis und Stochastik

CY - Berlin

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