Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model (Q5696866): Difference between revisions

@@ Property / author @@
+John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
+Normal rank
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+MaRDI publication profile
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@@ Property / cites work @@
+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
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+The Numerical Evaluation of Certain Multivariate Normal Integrals
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
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@@ Property / cites work @@
+Q3925639
@@ Property / cites work: Q3925639 / rank @@
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+Yield curve estimation by kernel smoothing methods
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+Q2756619
@@ Property / cites work: Q2756619 / rank @@
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+WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF  SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?
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@@ links / mardi / name / links / mardi / name @@
+Publication:5696866