Tim Dun

ANZ Investment Bank

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Correlating Market Models

Number of pages: 10 Posted: 24 May 2003
Bruce Choy, Tim Dun and Erik Schlögl
Commonwealth Bank of Australia, ANZ Investment Bank and University of Technology Sydney (UTS), Quantitative Finance Research Centre
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Abstract:

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LIBOR Market Models, interest rate term structure, model calibration, swaptions, correlation, implied volatility