9 research outputs found
Calibration of Multicurrency LIBOR Market Models
Get PDFThis paper presents a methodf or calibrating a multi currency lognormal LIBOR Market Model to market data of at-the-money caps, swaptions and FX options. By exploiting the fact that multivariate normal distributions are invariant under orthonormal transformations, the calibration problem is decomposed into manageable stages, while maintaining the ability to achieve realistic correlation structures between all modelled market variables.currency options; LIBOR market model; exchange rate risk; interest rate risk
An Indirect Chaotropic Mechanism for the Stabilization of Helix Conformation of Peptides in Aqueous Trifluoroethanol and Hexafluoro-2-propanol
No full textContributions of the Ionic Lattice, Nonangular Substituents, and Perfluoroaromatic π-Stacking to the Solid States of Derivatives of N
No full textThree-State, Conformational Probe for Hydrophobic, π-Stacking Interactions in Aqueous and Mixed Aqueous Solvent Systems: Anisotropic Solvation of Aromatic Rings
No full textMonitoring the Growth of Polyoxomolybdate Nanoparticles in Suspension by Flow Field-Flow Fractionation
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