An almost Markovian LIBOR market model calibrated to caps and swaptions (Q5247275): Difference between revisions

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Latest revision as of 00:40, 10 July 2024

scientific article; zbMATH DE number 6429540
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English
An almost Markovian LIBOR market model calibrated to caps and swaptions
scientific article; zbMATH DE number 6429540

    Statements

    An almost Markovian LIBOR market model calibrated to caps and swaptions (English)
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    23 April 2015
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    term structure
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    interest rate derivatives
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    volatility modelling
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    correlation structures
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    local volatility theory
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    correlation modelling
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    multi-factor models
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