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• W1551115473 abstract "We consider a two-country multi-factor quadratic Gaussian model and provide efficient formulas for the price of default free bonds and the calibration of the model to the default free discount term structure. We also provide approximations for the price of default free swaptions in such a model indicating the limitation of using an approach based on replacing certain martingales by their expectation." @default.
• W1551115473 created "2016-06-24" @default.
• W1551115473 creator A5080445013 @default.
• W1551115473 date "2007-01-01" @default.
• W1551115473 modified "2023-09-26" @default.
• W1551115473 title "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model" @default.
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• W1551115473 hasPublicationYear "2007" @default.
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