2007 Artikel Calibration of Lévy term structure models
Calibration of Lévy term structure models. In Advances in Mathematical Finance: In Honor of D. B. Madan, M. Fu, R. A. Jarrow, J.-Y. Yen, and R. J. Elliott (eds.), Birkhäuser (2007), pp. 147–172 (joint with W. Kluge)
CalibrationLevyTermStructureModel.pdf
—
PDF document,
456Kb