The LIBOR model dynamics: Approximations, calibration and diagnostics

European Journal of Operational Research

Volumn 163, Issue 1, 2005, Pages 30-51

  Brigo, Damiano ^a   Mercurio, Fabio ^a   Morini, Massimo ^a  

^a Intesa Sanpaolo SpA   (Italy)

Author keywords

Finance; Interest rate modeling; LIBOR market model; Pricing; Stochastic processes

Indexed keywords

APPROXIMATION THEORY; BROWNIAN MOVEMENT; CALIBRATION; CORRELATION THEORY; DATA PROCESSING; DYNAMICS; FINANCE; MATHEMATICAL MODELS; RANDOM PROCESSES;

INTEREST RATE MODELING; LIBOR MARKET MODEL; PRICING;

MARKETING;

EID: 9944220454     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2003.12.004     Document Type: Conference Paper

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