BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL (Q5234015)
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scientific article; zbMATH DE number 7102648
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL |
scientific article; zbMATH DE number 7102648 |
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BACK-OF-THE-ENVELOPE SWAPTIONS IN A VERY PARSIMONIOUS MULTI-CURVE INTEREST RATE MODEL (English)
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9 September 2019
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multi-curve interest rates
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parsimonious modeling
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cash-settled swaptions
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physical delivery swaptions
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calibration cascade
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