The LIBOR model dynamics: Approximations, calibration and diagnostics.

Damiano Brigo Fabio Mercurio Massimo Morini The LIBOR model dynamics: Approximations, calibration and diagnostics. 30-51 2005 163 Eur. J. Oper. Res. 1 https://doi.org/10.1016/j.ejor.2003.12.004 db/journals/eor/eor163.html#BrigoMM05