A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL (Q5066297): Difference between revisions
From MaRDI portal
Set profile property. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 2109.10779 / rank | |||
Normal rank | |||
Latest revision as of 23:05, 19 April 2024
scientific article; zbMATH DE number 7499767
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL |
scientific article; zbMATH DE number 7499767 |
Statements
A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL (English)
0 references
29 March 2022
0 references
LIBOR market models
0 references
Solvency II
0 references
valuation of long-term guarantees
0 references
life insurance portfolios
0 references
exploding rates
0 references
mean-field games
0 references
Black's formula
0 references
