Calibration of Lévy term structure models

Applied and Numerical Harmonic Analysis

Volumn , Issue 9780817645441, 2007, Pages 147-172

  Eberlein, Ernst ^a   Kluge, Wolfgang ^b  

^a UNIVERSITY OF FREIBURG   (Germany)

^b BNP PARIBAS   (France)

Author keywords

Calibration; Forward rate model; L vy processes; Market models

Indexed keywords

EID: 85019203694     PISSN: 22965009     EISSN: 22965017     Source Type: Book Series    
DOI: 10.1007/978-0-8176-4545-8_9     Document Type: Chapter

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