A Multicurve Cross-Currency LIBOR Market Model

<table class="fixed-width table-group" id="tab7"><tr><td><table class="table"><colgroup><col style="width:11.94em"/><col style="width:4.21em"/><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 G/USD FX Rate</td><td class="align_center">0.76631</td><td class="align_center">0.00482</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 GBP/USD FX Rate.</div>

Journal of Applied Mathematics

tab7

Table 7

Table 7: A Multicurve Cross-Currency LIBOR Market Model 