Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions (Q3005816): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2010.535839
+Normal rank
@@ Property / OpenAlex ID @@
+W3124804117
@@ Property / OpenAlex ID: W3124804117 / rank @@
+Normal rank
@@ Property / cites work @@
+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+THEORY AND CALIBRATION OF SWAP MARKET MODELS
@@ Property / cites work: THEORY AND CALIBRATION OF SWAP MARKET MODELS / rank @@
+Normal rank
@@ Property / cites work @@
+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
+Normal rank
@@ Property / cites work @@
+Constructing Sobol Sequences with Better Two-Dimensional Projections
+Normal rank
@@ Property / cites work @@
+On the information in the interest rate term structure and option prices
+Normal rank
@@ Property / cites work @@
+A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
+Normal rank
@@ Property / cites work @@
+Effective Implementation of Generic Market Models
@@ Property / cites work: Effective Implementation of Generic Market Models / rank @@
+Normal rank
@@ Property / cites work @@
+Generic market models
@@ Property / cites work: Generic market models / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank