A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE (Q3022072)
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scientific article; zbMATH DE number 2177844
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| English | A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE |
scientific article; zbMATH DE number 2177844 |
Statements
A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE (English)
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22 June 2005
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LIBOR market model
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stochastic volatility
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swaption matrix
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0.80107581615448
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0.760591983795166
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0.7604557871818542
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0.755800187587738
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0.7556656002998352
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