Pages that link to "Item:Q5696866"
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The following pages link to Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model (Q5696866):
Displaying 10 items.
- Some results on correlation matrices for interest rates (Q637511) (← links)
- Accurate and fast computations with positive extended Schoenmakers-Coffey matrices (Q2955997) (← links)
- Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options (Q3063876) (← links)
- THEORY AND CALIBRATION OF SWAP MARKET MODELS (Q3446061) (← links)
- EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL (Q4571699) (← links)
- Exploring the total positivity of yields correlations (Q5001156) (← links)
- Pricing inflation-indexed derivatives (Q5711168) (← links)
- MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS (Q5854313) (← links)
- Eigenvalue-eigenvector structure of Schoenmakers-Coffey matrices via Toeplitz technology and applications (Q5962483) (← links)
- Accurate and fast computations with Green matrices (Q6170087) (← links)
