Work

Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption

Year: 2009

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1421139

Authors: Alexandre Antonov, Timur Misirpashaev

Institution: Bloomberg (United States)

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1959091306

Cites: 19

Cited by: 10

Related to: 9