A flexible matrix Libor model with smiles (Q318337)
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scientific article; zbMATH DE number 6632732
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A flexible matrix Libor model with smiles |
scientific article; zbMATH DE number 6632732 |
Statements
A flexible matrix Libor model with smiles (English)
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5 October 2016
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affine processes
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Wishart process
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Libor market model
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fast Fourier transform
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caps
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floors
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swaptions
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0.8473420143127441
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0.8072595596313477
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0.8050569891929626
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0.8008390665054321
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0.8003985285758972
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