Calibration of LIBOR models to caps and swaptions : a way around intrinsic instabilities via parsimonious structures and a collateral market criterion
John Schoenmakers
| Year of publication: |
2002
|
|---|---|
| Authors: | Schoenmakers, John |
| Publisher: |
Berlin : WIAS |
| Subject: | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Euromarkt | Euromarkets | Theorie | Theory |
| Extent: | 19 S |
|---|---|
| Series: | Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik. - Berlin : WIAS, ISSN 0946-8633, ZDB-ID 2247814-0. - Vol. 740 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Forschungsbericht ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Classification: | Mathematik: Allgemeines |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001724376