A new simulation approach to the LIBOR market model.
Henry SchellhornZhihua ChenPublished in: Math. Comput. Model. (2006)
Keyphrases
- mathematical model
- simulation model
- computational model
- analytical model
- simulation study
- experimental data
- theoretical framework
- probabilistic model
- formal model
- information retrieval
- monte carlo simulation
- theoretical analysis
- probability distribution
- decision trees
- learning algorithm
- cost function
- multi agent
- objective function
- statistical model
- multiscale
- conceptual model
- sensitivity analysis
- high level
- decision making
- data sets
- simulation data