Theory and calibration of swap market models

Mathematical Finance

Volumn 17, Issue 1, 2007, Pages 111-141

  Galluccio, S ^a   Ly, J M ^a   Huang, Z ^b   Scaillet, O ^c  

^a BNP PARIBAS   (France)

^b JP Morgan   (United Kingdom)

^c SWISS FINANCE INSTITUTE   (Switzerland)

Author keywords

Calibration; Cap; Graph theory; Swap market model; Swaption

Indexed keywords

EID: 33845647654     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2007.00296.x     Document Type: Article

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