AN EFFICIENT CALIBRATION METHOD FOR THE MULTI-FACTOR LIBOR...

International Journal of Theoretical and Applied Finance 2006 / 11 Vol. 9; Iss. 7

AN EFFICIENT CALIBRATION METHOD FOR THE MULTI-FACTOR LIBOR MARKET MODEL AND ITS APPLICATION TO THE JAPANESE MARKET

TANIMURA, HIDETOSHI, YAMADA, YUJI
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Volume:
9
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024906003913
Date:
November, 2006
File:
PDF, 1.05 MB
english, 2006
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