000 | 00571nam a2200181Ia 4500 | ||
---|---|---|---|
008 | 100324s9999 xx 000 0 und d | ||
100 | _aBrigo,Damiano and Morini, Massimo | ||
240 | _aJournal of Derivatives (Q) | ||
245 | _aEfficient analytical cascade calibration of the LIBOR market model with endogenous interpolation | ||
246 | _f2006 | ||
260 | _c2006 | ||
300 |
_bV. 14 _cIssue. 1 _a40 - 60 |
||
366 | _b2006 | ||
366 | _bFull | ||
650 | _aDerivatives | ||
653 | _aLIBOR market;Cascade calibration algorithm;CCA;LIBOR market model | ||
942 | _cJA | ||
999 |
_c46157 _d46157 |