The LIBOR model dynamics: Approximations, calibration and diagnostics
| Year of publication: |
2005
|
|---|---|
| Authors: | Brigo, Damiano ; Mercurio, Fabio ; Morini, Massimo |
| Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 163.2005, 1, p. 30-51
|
| Publisher: |
Elsevier |