Systematic generation of parametric correlation structures for the libor market model

JGM Schoenmakers, B Coffey

Research output: Contribution to journalArticleScientificpeer-review

22 Citations (Scopus)
Original languageUndefined/Unknown
Pages (from-to)507-519
Number of pages13
JournalInternational Journal of Theoretical and Applied Finance
Volume6
Issue number5
Publication statusPublished - 2003

Keywords

  • Wiskunde en Informatica
  • Techniek
  • technische Wiskunde en Informatica
  • Vakpubl., Overig wet. > 3 pag

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