An efficient calibration method for the multi-factor LIBOR market model and its application to the Japanese market
Year of publication: |
2006
|
---|---|
Authors: | Tanimura, Hidetoshi ; Yamada, Yuji |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 9.2006, 7, p. 1123-1140
|
Subject: | Geldmarkt | Money market | Modellierung | Scientific modelling | Japan |
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