Calibration, simulation and hedging in a Heston libor market model with stochastic basis
Ahsan Amin (Infiniti Derivatives)
| 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
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| Subject: | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process | Stochastische Volatilität | Stochastic volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011457001