AN EFFICIENT CALIBRATION METHOD FOR THE MULTI-FACTOR LIBOR MARKET MODEL AND ITS APPLICATION TO THE JAPANESE MARKET

DOI10.1142/S0219024906003913zbMath1140.91370OpenAlexW1981695338MaRDI QIDQ3421828

Yuji Yamada, Hidetoshi Tanimura

Publication date: 8 February 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003913

zbMATH Keywords

LIBOR market modelparameter calibrationimplied correlation matrix

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• The Market Model of Interest Rate Dynamics

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