Jean-Michel Ly

BNP Paribas Fixed Income

10 Harewood Avenue

NW1 6AA London

United Kingdom

SCHOLARLY PAPERS

1

DOWNLOADS

1,293

SSRN CITATIONS
Rank 37,853

SSRN RANKINGS

Top 37,853

in Total Papers Citations

0

CROSSREF CITATIONS

20

Scholarly Papers (1)

1.
Downloads 1,293 (23,913)
Citation 10

Theory and Calibration of Swap Market Models

FAME Working Paper No. 107
Number of pages: 42 Posted: 27 Feb 2005
BNP Paribas Fixed Income, Swiss Finance Institute - University of Geneva, JP Morgan and BNP Paribas Fixed Income
Downloads 1,258 (24,487)
Citation 4

Abstract:

Loading...

Swap market model, cap, swaption, calibration

Theory and Calibration of Swap Market Models

Mathematical Finance, Vol. 17, No. 1, pp. 111-141, January 2007
Number of pages: 31 Posted: 13 Dec 2006
Stefano Galluccio, Jean-Michel Ly, O. Scaillet and Z. Huang
BNP Paribas Fixed Income, BNP Paribas Fixed Income, Swiss Finance Institute - University of Geneva and JP Morgan
Downloads 35 (673,973)

Abstract:

Loading...