Jaroslaw Kolakowski

SAS Institute Inc. - Poland

01-633 Warsaw, Gdanska 27/31

Poland

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Scholarly Papers (1)

1.

Recombining Trees for One-Dimensional Forward Rate Models

Number of pages: 9 Posted: 07 Mar 2003
Dariusz Gatarek and Jaroslaw Kolakowski
Deloitte & Touche CE and SAS Institute Inc. - Poland
Downloads 603 (42,971)

Abstract:

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BGM model, HJM model, calibration, Bermudan swaptions, Brady bonds