Brigo,Damiano and Morini, Massimo <br/><br/>
Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation 
 2006 

 -  2006 
 - 40 - 60  V.  14  Issue.   1 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Derivatives
<br/><br/><label>Subjects--Index Terms: </label>LIBOR market;Cascade calibration algorithm;CCA;LIBOR market model