Interest rate model calibration using semidefinite Programming
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References listed on IDEAS
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- S. Galluccio & J.-M. Ly & Z. Huang & O. Scaillet, 2007. "Theory And Calibration Of Swap Market Models," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 111-141.
- Stute, Winfried & Nogales, Francisco J. & Colino, Jesús P., 2008. "LIBOR additive model calibration to swaptions markets," DES - Working Papers. Statistics and Econometrics. WS ws085619, Universidad Carlos III de Madrid. Departamento de Estadística.
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Keywordssemidefinite programming; Libor market model; calibration; basket options;
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