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 (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 07, p. 1123-1139
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | LIBOR market model | parameter calibration | implied correlation matrix |
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