Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model.
Ping LiPeng ShiGuangdong HuangXiao-Jun ShiPublished in: J. Syst. Sci. Complex. (2010)
Keyphrases
- probabilistic model
- statistical model
- mathematical model
- regression analysis
- theoretical analysis
- sensitivity analysis
- pairwise
- parameter estimation
- objective function
- cost function
- detection method
- high order
- study proposes
- evaluation method
- bp neural network
- linear regression
- prior knowledge
- hybrid model
- significant improvement
- prior information
- em algorithm
- similarity measure
- classification method
- closed form
- input data
- gaussian distribution
- network model
- linear model
- energy function
- evaluation model
- modeling method
- artificial neural networks
- autoregressive
- monte carlo simulation
- optimization method
- clustering method