An efficient lattice algorithm for the libor market model
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KeywordsLIBOR Market Model; LMM; BGM; lattice model; tree model; shifted forward measure; drift approximation; risk management; calibration; callable exotics; callable bond; callable capped floater swap; callable inverse floater swap; callable range accrual swap;
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- D4 - Microeconomics - - Market Structure, Pricing, and Design
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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