A flexible matrix Libor model with smiles
José Da Foncesca; Alessandro Gnoatto; Martino Grasselli
| Year of publication: |
2013
|
|---|---|
| Authors: | Da Foncesca, José ; Gnoatto, Alessandro ; Grasselli, Martino |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 37.2013, 4, p. 774-793
|
| Subject: | Affine processes | Wishart process | Libor market model | Fast Fourier transform | Caps | Floors | Swaptions | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009726178