Risk-management methods for the Libor market model using semidefinite programming
Alexandre D'Aspremont
| Year of publication: |
2005
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|---|---|
| Authors: | Aspremont, Alexandre d' |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 8.2004/2005, 4, p. 77-99
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| Subject: | Theorie | Theory | Zinsstruktur | Yield curve | Mathematische Optimierung | Mathematical programming | Zinsderivat | Interest rate derivative |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002990531