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
Issue number5
Publication statusPublished - 2003


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

Cite this