Analytic approximation to constant maturity swap convexity correction in a multi-factor SABR model

Journal article (2010)

Authors

B. Chen Numerical Analysis - EEMCS
C.W. Oosterlee Numerical Analysis - EEMCS
S. van Weeren External organisation
Research Group
Numerical Analysis (EEMCS) (TU Delft)
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Published Date

2010

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Numerical Analysis