{"id":"W2408413591","doi":"10.1142/s2424786316500018","title":"Valuation of CMS range notes in a multifactor LIBOR market model","year":2016,"lang":"en","type":"article","venue":"International Journal of Financial Engineering","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":1,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Calgary","funders":"","keywords":"Libor; Valuation (finance); Martingale (probability theory); LIBOR market model; Econometrics; Swap (finance); Interest rate swap; Martingale pricing; Economics; Risk-neutral measure; Financial economics; Computer science; Actuarial science; Interest rate; Mathematics; Local martingale; Applied mathematics; Finance","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002707312,0.0008754135,0.001168788,0.0009621924,0.00049614,0.002663379,0.001936442,0.002569009,0.003558628],"category_scores_gemma":[0.00513427,0.0004790038,0.0009923276,0.0007609092,0.001624667,0.006393275,0.00122633,0.002090858,0.0003041513],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001296481,"about_ca_system_score_gemma":0.0009329057,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001819166,"about_ca_topic_score_gemma":0.000953922,"domain_scores_codex":[0.9993136,0.000318088,0.0000281293,0.0001031127,0.0001478805,0.00008922243],"domain_scores_gemma":[0.9984951,0.0006758726,0.0003132998,0.00011756,0.0001611053,0.0002371336],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0001054113,0.00005233442,0.001151297,0.00005282563,0.00003691683,0.0006357841,0.0001229704,0.220561,0.003034248,0.7667322,0.0008014417,0.006713503],"study_design_scores_gemma":[0.00001624301,0.00003069013,0.000209276,0.000007202339,0.000007885185,0.00009494281,0.00002712862,0.910696,0.0001811107,0.08835383,0.0003531313,0.00002251093],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.2613939,0.0009802644,0.7241444,0.001084296,0.0000854177,0.00005433887,0.0001552728,0.0001805391,0.01192159],"genre_scores_gemma":[0.9697025,0.0004879823,0.02232349,0.00008202896,0.000113162,0.00003665757,0.00007270982,0.00003397767,0.007147536],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.003558628,"threshold_uncertainty_score":0.01431781,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02931688224029595,"score_gpt":0.2297450123245147,"score_spread":0.2004281300842187,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}