The LIBOR model dynamics: Approximations, calibration and diagnostics
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Publication:704056
DOI10.1016/j.ejor.2003.12.004zbMath1067.90099OpenAlexW2088512714MaRDI QIDQ704056
Fabio Mercurio, Damiano Brigo, Massimo Morini
Publication date: 12 January 2005
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2003.12.004
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A cyclical square-root model for the term structure of interest rates ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ Dependence structure between LIBOR rates by copula method ⋮ A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates ⋮ An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
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