A Flexible Matrix Libor Model with Smiles

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SSRN Electronic Journal 2012

A Flexible Matrix Libor Model with Smiles

Gnoatto, Alessandro, Grasselli, Martino, Da Fonseca, José
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Year:
2012
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2027034
File:
PDF, 1.86 MB
english, 2012
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