Interest rate model calibration using semidefinite Programming (Q4811558): Difference between revisions
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Revision as of 17:30, 5 March 2024
scientific article; zbMATH DE number 2096800
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Interest rate model calibration using semidefinite Programming |
scientific article; zbMATH DE number 2096800 |
Statements
Interest rate model calibration using semidefinite Programming (English)
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6 September 2004
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semidefinite programming
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Libor market model
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calibration
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basket options
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