An efficient calibration method for the multi-factor libor market model and its application to the japanese market

International Journal of Theoretical and Applied Finance

Volumn 9, Issue 7, 2006, Pages 1123-1139

  Tanimura, Hidetoshi ^a   Yamada, Yuji ^a  

^a UNIVERSITY OF TSUKUBA   (Japan)

Author keywords

Implied correlation matrix; LIBOR market model; Parameter calibration

Indexed keywords

EID: 33751033339     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024906003913     Document Type: Article

References (10)

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