Florence Guillaume, Wim Schoutens. A bootstrapping market implied moment matching calibration for models with time-dependent parameters. J. Computational Applied Mathematics, 271:100-116, 2014. [doi]
@article{GuillaumeS14-0,
title = {A bootstrapping market implied moment matching calibration for models with time-dependent parameters},
author = {Florence Guillaume and Wim Schoutens},
year = {2014},
doi = {10.1016/j.cam.2014.04.005},
url = {http://dx.doi.org/10.1016/j.cam.2014.04.005},
researchr = {https://researchr.org/publication/GuillaumeS14-0},
cites = {0},
citedby = {0},
journal = {J. Computational Applied Mathematics},
volume = {271},
pages = {100-116},
}