Work

On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix

Year: 1999

Type: article

Source: The Journal of Computational Finance

DOI: 10.21314/jcf.1999.031

Author: Riccardo Rebonato

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2462968902

FWCI: 9.63

Cites:

Cited by: 93

Related to: 10