EFFICIENT ANALYTICAL CASCADE CALIBRATION OF THE LIBOR MARKET MODEL WITH ENDOGENOUS INTERPOLATION
| Year of publication: |
2006
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|---|---|
| Authors: | Brigo, Damiano ; Morini, Massimo |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Institutional Investor, ISSN 1074-1240, ZDB-ID 11690045. - Vol. 14.2006, 1, p. 40-60
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