Bruce Choy

Commonwealth Bank of Australia

Melbourne

Australia

SCHOLARLY PAPERS

1

DOWNLOADS

768

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (1)

1.

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
Downloads 768 (34,027)
Citation 6

Abstract:

Loading...

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