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Calibration accuracy of three variants of the Libor Market Model

By Pierre-Edouard Arrouy, Paul Bonnefoy, Elias Bouiti, Alexandre Boumezoued, and Julien Vedani
01 December 2022

About the Author(s)

Pierre-Edouard Arrouy

Paris Tel: 33 1 42991560

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Paul Bonnefoy

Paris Tel: 33 1 42991560

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Elias Bouiti

Paris

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Alexandre Boumezoued

Paris Tel: 33 7 88 59 54 51

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Julien Vedani

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