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

@inproceedings{Brigo:2003:1/302,
author = {Brigo, D and Mercurio, F},
doi = {1/302},
pages = {15--27},
publisher = {IOP PUBLISHING LTD},
title = {Analytical pricing of the smile in a forward LIBOR market model},
url = {http://dx.doi.org/10.1088/1469-7688/3/1/302},
year = {2003}
}

RIS format (EndNote, RefMan)

TY  - CPAPER
AU - Brigo,D
AU - Mercurio,F
DO - 1/302
EP - 27
PB - IOP PUBLISHING LTD
PY - 2003///
SN - 1469-7688
SP - 15
TI - Analytical pricing of the smile in a forward LIBOR market model
UR - http://dx.doi.org/10.1088/1469-7688/3/1/302
UR - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000185285900006&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
ER -