B Coffey

Journal article (1)

Report (2)

3 records found

Systematic generation of parametric correlation structures for the libor market model

Journal article (2003) - JGM Schoenmakers (author) , B Coffey (author)

Stable implied calibration of a multi-factor LIBOR model via a semi-parametric correlation structure

Report (2000) - JGM Schoenmakers (author) , B Coffey (author)

LIBOR rate models, related derivatives and model calibration

Report (1999) - JGM Schoenmakers (author) , B Coffey (author)