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Calibration Methods of Hull-White Model S�ebastien Gurrieri1�, Masaki Nakabayashi1x and Tony Wong1{ 1Risk Management Department, Mizuho Securities Tokyo Abstract We describe…

Documents Libor Market Models: the reasons behind the success

Libor Market Models: the reasons behind the success A focus on calibration Janvier 2002 Introduction Market models have become a standard in the bank industry. This success…