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, Swiss Finance Institute - University of Geneva, JP Morgan and BNP Paribas Fixed Income
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Abstract:

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Swap market model, cap, swaption, calibration