Calibration, simulation and hedging in a Heston libor market model with stochastic basis
Year of publication: |
2013
|
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Authors: | Amin, Ahsan |
Published in: |
Interest rate modelling after the financial crisis. - London : Risk Books, ISBN 978-1-906348-93-9. - 2013, p. 369-391
|
Subject: | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process | Stochastische Volatilität | Stochastic volatility |
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