Schoenmakers, John (contributor); Coffey, Brian (contributor) - 1999 - [Elektronische Ressource]
Based on Jamshidians framework a general strategy for the quasi-analytical valuation of large classes of LIBOR derivatives will be developed. As a special case we will address the quasi-analytical approximation formula for swaptions of Brace Gatarek and Musiela and show that a similar formula...
