Interest rate model calibration using semidefinite Programming

Applied Mathematical Finance

Volumn 10, Issue 3, 2003, Pages 183-213

  D'Aspremont, A ^a,b,c  

^a ECOLE POLYTECHNIQUE   (France)

^b STANFORD UNIVERSITY   (United States)

^c NONE   (United States)

Author keywords

Basket options; Calibration; Libor market model; Semidefinite programming

Indexed keywords

EID: 0345116314     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350486032000141002     Document Type: Article

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