Interest rate model calibration using semidefinite Programming
Work
Year: 2003
Type: article
Abstract: It is shown that, for the purpose of pricing swaptions, the swap rate and the corresponding forward rates can be considered lognormal under a single martingale measure. Swaptions can then be priced as... more
Source: Applied Mathematical Finance
Author Alexandre d’Aspremont
Institution École Polytechnique
Cites: 29
Cited by: 20
Related to: 10
FWCI: 1.483
Citation percentile (by year/subfield): 78.32
Subfield: Finance
Domain: Social Sciences
Open Access status: green