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Multiple stochastic volatility extension of the Libor market model and its implementation.
Denis Belomestny
Stanley Mathew
John Schoenmakers
Published in:
Monte Carlo Methods Appl. (2009)
Keyphrases
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probabilistic model
computational model
efficient implementation
theoretical analysis
prediction model
genetic algorithm
social networks
probability distribution
mathematical model
formal model
multi agent
em algorithm
stock market
hybrid model
stochastic process
multiple models