Sakura

April 1997, 127-155 K.Miltersen,K.Sandmann, D.Sondermann(1995) Closed Form solutions for Term Structure Derivatives with Log-Normal interest rates. Preprint Universite of Bonn F.Jamshidian (1996) Libor and Swap Market Models and Measures preprint Sakura 200 DEA de Probabilit´, option finance 2003/2004 e Chapitre 12 Le mod`le de march´ : ´valuation e e e des swaptions et calibration Remerciements Ce chapitre a ´t´ ´crit par Alexandre d’Aspremont de l’universit´ eee e de Stanford. Je

April 1997, 127-155 K.Miltersen,K.Sandmann, D.Sondermann(1995) Closed Form solutions for Term Structure Derivatives with Log-Normal interest rates. Preprint Universite of Bonn F.Jamshidian (1996) Libor and Swap Market Models and Measures preprint Sakura 200 DEA de Probabilit´e, option finance 2003/2004 Chapitre 12 Le mod` ele de march´ e:´ evaluation des swaptions et calibration Remerciements Ce chapitre a ´ et´e ´ecrit par Alexandre d’Aspremont de l’universit´e de Stanford. Je le remercie

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