Efficient Analytical Cascade Calibration of the LIBOR Market Model with Endogenous Interpolation

Damiano Brigo, Massimo Morini

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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@article{2f6eef0dd60545c0890f25c891871dfd,

title = "Efficient Analytical Cascade Calibration of the LIBOR Market Model with Endogenous Interpolation ",

author = "Damiano Brigo and Massimo Morini",

year = "2006",

doi = "10.3905/jod.2006.650198",

language = "English",

volume = "14",

pages = "40 -- 60",

journal = "Journal of Derivatives",

publisher = "Institutional Investor, Inc",

number = "1",

}