A Random Field LIBOR Market Model

2013 ◽  
Author(s):  
Tao L. Wu ◽  
Shengqiang Xu
Keyword(s):  
Random Field ◽  
Market Model ◽  
Libor Market Model

A Multi-Curve Random Field LIBOR Market Model

2013 ◽  
Author(s):  
Tao L. Wu ◽  
Shengqiang Xu
Keyword(s):  
Random Field ◽  
Market Model ◽  
Libor Market Model

A Random Field Libor Market Model with Lognormal-Mixture Dynamics

2013 ◽  
Author(s):  
Tao L. Wu ◽  
Shengqiang Xu
Keyword(s):  
Random Field ◽  
Market Model ◽  
Libor Market Model ◽  
Mixture Dynamics

A Random Field LIBOR Market Model

2014 ◽  
pp. n/a-n/a ◽  
Author(s):  
Tao L. Wu ◽  
Shengqiang Xu
Keyword(s):  
Random Field ◽  
Market Model ◽  
Libor Market Model

Comparing Discretization of the LIBOR Market Model in the Spot Measure

2008 ◽  
Author(s):  
Christopher Beveridge ◽  
Nick Denson ◽  
Mark S. Joshi
Keyword(s):  
Market Model ◽  
Libor Market Model

Calibration of the Multi-Currency LIBOR Market Model

2011 ◽  
Author(s):  
Kay F. Pilz ◽  
Erik Schlogl
Keyword(s):  
Market Model ◽  
Libor Market Model
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