A comparison of single factor Markov-functional and multi factor market models (Q541589): Difference between revisions

@@ Property / DOI @@
-.1007/s11147-009-9050-5
@@ Property / DOI: 10.1007/s11147-009-9050-5 / rank @@
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+Markov-functional model
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@@ Property / zbMATH Keywords @@
+market model
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@@ Property / zbMATH Keywords @@
+Bermudan swaption
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+terminal correlation
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+Q2782351
@@ Property / cites work: Q2782351 / rank @@
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@@ Property / cites work @@
+Calibrating volatility surfaces via relative-entropy minimization
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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
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+Applications of Malliavin calculus to Monte Carlo methods in finance
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+Q4433608
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+Efficient rank reduction of correlation matrices
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+Normal rank
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+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+Markov-functional interest rate models
@@ Property / cites work: Markov-functional interest rate models / rank @@
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@@ Property / cites work @@
+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 @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+Generic market models
@@ Property / cites work: Generic market models / rank @@
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+Q2756619
@@ Property / cites work: Q2756619 / rank @@
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+VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
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@@ Property / cites work @@
+An equilibrium characterization of the term structure
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@@ Property / DOI @@
+.1007/S11147-009-9050-5
@@ Property / DOI: 10.1007/S11147-009-9050-5 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:541589