Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions (Q3005816): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions |
scientific article |
Statements
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions (English)
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9 June 2011
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LIBOR market models
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calibration of deterministic volatility
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computational finance
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interest rate derivatives
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American style derivative securities
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