TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES (Q3553255)
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scientific article; zbMATH DE number 5697865
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| English | TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES |
scientific article; zbMATH DE number 5697865 |
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TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES (English)
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22 April 2010
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Libor market model
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trivariate support
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calculus of variation problem
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constrained functional optimization
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0.7061823
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0.66445905
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0.6581161
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0.65503955
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0.65052885
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0.64636326
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0.64086485
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0.6367183
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