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Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation

Brigo,Damiano and Morini, Massimo

Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation 2006 - 2006 - 40 - 60 V. 14 Issue. 1

Subjects--Topical Terms:
Derivatives

Subjects--Index Terms: LIBOR market;Cascade calibration algorithm;CCA;LIBOR market model

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