Black's model in a negative interest rate environment, with application to OTC derivatives.
Riccardo BramanteGimmi DallagoSilvia FacchinettiPublished in: Comput. Manag. Sci. (2022)
Keyphrases
- mathematical model
- real time
- computational model
- probabilistic model
- agent model
- prior knowledge
- formal model
- mobile robot
- probability distribution
- theoretical analysis
- conceptual model
- model driven
- object model
- neural network model
- positive and negative
- statistical model
- dynamic environments
- cost function
- multiscale
- decision making
- information systems