Black's model in a negative interest rate environment, with application to OTC derivatives.

Riccardo Bramante Gimmi Dallago Silvia Facchinetti

Published 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