A Multicurve Cross-Currency LIBOR Market Model

<table class="fixed-width table-group" id="tab3"><tr><td><table class="table"><colgroup><col style="width:12.26em"/><col style="width:3.73em"/><col style="width:4.66em"/></colgroup><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left">Data </td><td class="align_center">Mean</td><td class="align_center">Std. Dev</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left">Simulated ON USD LIBOR</td><td class="align_center">1.9365</td><td class="align_center">0.0688</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Descriptive Statistics of the Simulated Overnight USD LIBOR.</div>

Journal of Applied Mathematics

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Table 3

Table 3: A Multicurve Cross-Currency LIBOR Market Model 