Pierre Hanton

BNP Paribas Fortis

Model Validation Quant

Brussels

Belgium

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CMS Spread Options and Similar Options in Multi-Factor HJM Framework

Number of pages: 16 Posted: 14 May 2010

Pierre Hanton and Marc P. A. Henrard

BNP Paribas Fortis and muRisQ Advisory

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CMS, CMS Spreads and Similar Options in the Multi-Factor HJM Framework

International Journal of Theoretical and Applied Finance, Vol. 15, No. 7, 2012

Posted: 07 Dec 2012

Pierre Hanton and Marc P. A. Henrard

BNP Paribas Fortis and muRisQ Advisory

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