Calibration of LIBOR Market Model: Comparison between the Separated and the Approximate Approach
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References listed on IDEAS
- de Jong, F.C.J.M. & Driessen, J.J.A.G. & Pelsser, A., 2000. "Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis," Discussion Paper 2000-35, Tilburg University, Center for Economic Research.
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KeywordsLIBOR Market Model; calibration;
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