Risk managing Bermudan swaptions in the Libor BGM model

Raoul Pietersz ...

Year of publication:	Aug. 2003 ; [Elektronische Ressource]
Other Persons:	Pietersz, Raoul (contributor) ; Pelsser, Antoon André Jean (contributor)
Institutions:	Econometrisch Instituut <Rotterdam> (contributor)
Publisher:	Rotterdam : Econometric Institute
Subject:	Risikomanagement \| Risk management \| Optionspreistheorie \| Option pricing theory \| Swap \| Zinsstruktur \| Yield curve \| Zinsderivat \| Interest rate derivative

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