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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch.

Viviana Fanelli
Published in: Eur. J. Oper. Res. (2016)
Keyphrases
  • starting point
  • case study
  • database
  • search engine
  • computer vision
  • decision making
  • hidden markov models
  • risk analysis
  • credit scoring