Bruce Choy

Commonwealth Bank of Australia

Melbourne

Australia

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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 The University of Technology Sydney - School of Mathematical and Physical Sciences
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Citation 1

Abstract:

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