Linearized Hamiltonian of the LIBOR market model : analytical and empirical results
Pan Tang, Belal E. Baaquie, Xin Du and Ying Zhang
| Year of publication: |
February-March 2016
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| Authors: | Tang, Pan ; Baaquie, Belal E. ; Du, Xin ; Zhang, Ying |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 10/12, p. 878-891
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| Subject: | LIBOR market model | interest rate models | quantitative finance | quantum finance | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Finanzmathematik | Mathematical finance | Zins | Interest rate | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2015.1090546 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011432758