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- W30543285 abstract "All pricing models require a parameter set to fully define the dynamics of each model. In order to make a model relevant to real markets and applicable for pricing, risk management, or trading, we must perform calibration. Calibration is the process of determining a parameter set such that model prices and market prices match very closely for a given set of liquidly traded instruments. These liquid instruments are called benchmark or calibration instruments and their calibrated prices are typically recorded together in a market snapshot. The so-called calibration procedure delivers the optimal parameter set for the model based on these calibration instruments." @default.
- W30543285 created "2016-06-24" @default.
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- W30543285 date "2014-01-01" @default.
- W30543285 modified "2023-09-23" @default.
- W30543285 title "Overview of Calibration and Estimation Techniques" @default.
- W30543285 doi "https://doi.org/10.1016/b978-0-12-384682-2.00025-6" @default.
- W30543285 hasPublicationYear "2014" @default.
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