The LIBOR Market Model Calibration with Separated Approach.

María Teresa Casparri Martín Ezequiel Masci Javier I. Garcia-Fronti

Published in: MS (2016)

Keyphrases

computational model
high level
probabilistic model
simulation model
formal model
objective function
prior knowledge
management system
experimental data
decision making
cost function
theoretical analysis
theoretical framework
closed form
prediction model
diffusion model