Risk managing Bermudan swaptions in the libor BGM model

R (Raoul) Pietersz, AAJ (Antoon) Pelsser

Research output: Book/Report/Inaugural speech/Farewell speech › Report › Academic

Original languageUndefined/Unknown
Number of pages24
EditionEconometric Institute EI 2003-33
Publication statusPublished - 2003

Publication series

SeriesEconometric Institute
VolumeEI 2003-33

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