A jump-diffusion Libor model and its robust calibration (Q3005814): Difference between revisions

@@ Property / author @@
-John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
-Normal rank
@@ Property / author @@
+John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697680903295176
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@@ Property / OpenAlex ID @@
+W2155696277
@@ Property / OpenAlex ID: W2155696277 / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral calibration of exponential Lévy models
@@ Property / cites work: Spectral calibration of exponential Lévy models / rank @@
+Normal rank
@@ Property / cites work @@
+Spatial aggregation of local likelihood estimates with applications to classification
+Normal rank
@@ Property / cites work @@
+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+The Term Structure of Simple Forward Rates with Jump Risk
+Normal rank
@@ Property / cites work @@
+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Libor Modelling and Pricing of Derivative Products
+Normal rank