A Multicurve Cross-Currency LIBOR Market Model

<table class="fixed-width table-group" id="tab4"><tr><td><table class="table"><colgroup><col style="width:12.12em"/><col style="width:3.83em"/><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 3M USD LIBOR</td><td class="align_center">2.3389</td><td class="align_center">0.0201</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 3 Month USD LIBOR.</div>

Journal of Applied Mathematics

tab4

Table 4

Table 4: A Multicurve Cross-Currency LIBOR Market Model 