Systematic generation of parametric correlation structures for the libor market model

JGM Schoenmakers, B Coffey

Research output: Contribution to journal › Article › Scientific › peer-review

Original language	Undefined/Unknown
Pages (from-to)	507-519
Number of pages	13
Journal	International Journal of Theoretical and Applied Finance
Volume	6
Issue number	5
Publication status	Published - 2003

Keywords

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title = "Systematic generation of parametric correlation structures for the libor market model",

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author = "JGM Schoenmakers and B Coffey",

year = "2003",

language = "Undefined/Unknown",

volume = "6",

pages = "507--519",

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publisher = "World Scientific Publishing",

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TY - JOUR

T1 - Systematic generation of parametric correlation structures for the libor market model

AU - Schoenmakers, JGM

AU - Coffey, B

PY - 2003

Y1 - 2003

KW - Wiskunde en Informatica

KW - Techniek

KW - technische Wiskunde en Informatica

KW - Vakpubl., Overig wet. > 3 pag

M3 - Article

SN - 0219-0249

VL - 6

SP - 507

EP - 519

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

IS - 5

ER -