Estimating LIBOR swaps spot-volatilities : the EpiVolatility model
Stephen W. Bianchi, Roger J.-B. Wets and Liming Yang
| Year of publication: |
2004
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| Authors: | Bianchi, Stephen W. ; Wets, Roger J.-B. ; Yang, Liming |
| Published in: |
Dynamic stochastic optimization : [this volume includes a selection of papers presented at the IFIP/IIASA/GAMM-Workshop on "Dynamic Stochastic Optimization" held at the International Institute for Systems Analysis (IIASA), Laxenburg, Austria, March 11 - 14, 2002]/ Kurt Marti ... (eds.). - Berlin : Springer, ISBN 3-540-40506-2. - 2004, p. 99-114
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| Subject: | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10003487959