The LIBOR model dynamics: Approximations, calibration and diagnostics.
Damiano BrigoFabio MercurioMassimo MoriniPublished in: Eur. J. Oper. Res. (2005)
Keyphrases
- computational model
- experimental data
- mathematical model
- genetic algorithm
- formal model
- image sequences
- similarity measure
- expert systems
- neural network model
- parameter estimation
- statistical model
- temporal evolution
- dynamic model
- theoretical framework
- em algorithm
- markov random field
- probability distribution
- learning algorithm