A jump-diffusion Libor model and its robust calibration
| Year of publication: |
2006
|
|---|---|
| Authors: | Belomestny, Denis ; Schoenmakers, John G. M. |
| Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
| Series: | SFB 649 Discussion Paper ; 2006-037 |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Working Paper |
| Language: | English |
| Other identifiers: | 51247981X [GVK] hdl:10419/25118 [Handle] RePEc:zbw:sfb649:sfb649dp2006-037 [RePEc] |
| Source: |
Persistent link: https://www.econbiz.de/10010276589