Lecture Computational Finance 2 / Appl. Math. Fin. 22-1: Discrete Term Structure Models (9)

Lecture on Computational Finance 2 / Applied Mathematical Finance and its Object Oriented Implementation. Session 22 Part 1: Discrete Term Structure Models (Part 9)

The nineth session on discrete term structure models, modelling a discrete set of forward rates (LIBOR market model).

— Calibration (Part 3)

— Analytic Calibration versus (Brute Force) Numerical Calibration

— Calibration Error
— Removing / Hiding Numerical Errors through Calibration
— Numerical Experiments

Смотреть в источнике