Imperial College London

ProfessorDamianoBrigo

Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Brigo:2005:10.1016/j.ejor.2003.12.004,
author = {Brigo, D and Mercurio, F and Morini, M},
doi = {10.1016/j.ejor.2003.12.004},
journal = {EUROPEAN JOURNAL OF OPERATIONAL RESEARCH},
pages = {30--51},
title = {The LIBOR model dynamics: Approximations, calibration and diagnostics},
url = {http://dx.doi.org/10.1016/j.ejor.2003.12.004},
volume = {163},
year = {2005}
}

RIS format (EndNote, RefMan)

TY  - JOUR
AU - Brigo,D
AU - Mercurio,F
AU - Morini,M
DO - 10.1016/j.ejor.2003.12.004
EP - 51
PY - 2005///
SN - 0377-2217
SP - 30
TI - The LIBOR model dynamics: Approximations, calibration and diagnostics
T2 - EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
UR - http://dx.doi.org/10.1016/j.ejor.2003.12.004
UR - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000225678500004&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
VL - 163
ER -