Dependence structure between LIBOR rates by copula method
Author:
Publisher
Springer Science and Business Media LLC
Subject
Mathematics (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s11464-014-0315-4.pdf
Reference13 articles.
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2. Brigo D, Mercurio F. Interest Rate Models: Theory and Practice. Berlin: Springer-Verlag, 2001
3. Brigo D, Mercurio F, Morini M. The LIBOR model dynamics: approximations, calibration and diagnostics. European J Oper Res, 2005, 163: 30–51
4. Cherubini U, Luciano E, Vecchiato W. Copula Methods in Finance. London: John Wiley & Sons Ltd, 2004
5. Crank J, Nicolson P. A practical method for numerical evaluation of solutions of partial differential equations of the heat conduction type. Proc Cambridge Philos Soc, 1947, 43(1): 50–67
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