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Quasi-monte carlo simulation in a LIBOR market model.
Xuefeng Jiang
John R. Birge
Published in:
WSC (2005)
Keyphrases
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monte carlo simulation
mathematical model
statistical model
computational model
experimental data
high level
monte carlo
theoretical framework
management system
formal model
data sets
probabilistic model
cost function
bayesian networks
decision making
machine learning
neural network