Optimal Calibration of LIBOR Market Models to Correlations

The Journal of Derivatives 2004 / 01 Vol. 12; Iss. 2

Optimal Calibration of LIBOR Market Models to Correlations

Weigel, Peter
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Volume:
12
Language:
english
Journal:
The Journal of Derivatives
DOI:
10.3905/jod.2004.450967
Date:
January, 2004
File:
PDF, 270 KB
english, 2004
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