A flexible matrix Libor model with smiles

Journal of Economic Dynamics and Control 2013 / 4 Vol. 37; Iss. 4

A flexible matrix Libor model with smiles

Da Fonseca, José, Gnoatto, Alessandro, Grasselli, Martino
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Volume:
37
Language:
english
Journal:
Journal of Economic Dynamics and Control
DOI:
10.1016/j.jedc.2012.11.006
Date:
April, 2013
File:
PDF, 1.14 MB
english, 2013
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