Consistent calibration of HJM models to cap implied volatilities
| Year of publication: |
2005
|
|---|---|
| Authors: | Angelini, Flavio ; Herzel, Stefano |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139x. - Vol. 25.2005, 11, p. 1093-1120
|