A stochastic volatility Libor model and its robust calibration
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References listed on IDEAS
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KeywordsLibor modelling; stochastic volatility; CIR processes; calibration;
- J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials
- I19 - Health, Education, and Welfare - - Health - - - Other
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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