Fast swaption pricing in Gaussian term structure models (Q2831010)
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scientific article; zbMATH DE number 6646431
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| English | Fast swaption pricing in Gaussian term structure models |
scientific article; zbMATH DE number 6646431 |
Statements
1 November 2016
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Gaussian term structure model
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volatility surface calibration
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fast swaption pricing
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swaption analytics
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Fast swaption pricing in Gaussian term structure models (English)
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0.8220281600952148
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0.8061901926994324
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0.7670180797576904
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0.7662644386291504
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