CMS, CMS spreads and similar options in the multi-factor HJM framework (Q4902544)
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scientific article; zbMATH DE number 6125923
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| English | CMS, CMS spreads and similar options in the multi-factor HJM framework |
scientific article; zbMATH DE number 6125923 |
Statements
CMS, CMS SPREADS AND SIMILAR OPTIONS IN THE MULTI-FACTOR HJM FRAMEWORK (English)
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16 January 2013
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CMS
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CMS spread
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Heath-Jarrow-Morton
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multi-factor model
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Gaussian models
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G2++
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libor market model
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analytical formula
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efficient approximation
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0.8682911992073059
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0.865110456943512
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0.8272355794906616
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0.7739025950431824
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0.761271595954895
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