Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (Q3195114)
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English | Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration |
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Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (English)
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21 October 2015
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multiple curve models
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Libor
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OIS
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basis spread
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affine Libor models
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caps
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swaptions
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basis swaptions
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calibration
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