Jean-Michel Ly

BNP Paribas Fixed Income

10 Harewood Avenue

NW1 6AA London

United Kingdom

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Theory and Calibration of Swap Market Models

FAME Working Paper No. 107
Number of pages: 42 Posted: 27 Feb 2005
BNP Paribas Fixed Income, University of Geneva GSEM and GFRI, JP Morgan and BNP Paribas Fixed Income
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Citation 10

Abstract:

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, University of Geneva GSEM and GFRI and JP Morgan
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Citation 10
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Abstract: