Moment explosion in the LIBOR market model (Q633049): Difference between revisions
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Property / arXiv ID: 1008.2104 / rank | |||
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Property / cites work: Arbitrage Theory in Continuous Time / rank | |||
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Property / cites work: Q2771109 / rank | |||
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Property / cites work: The Market Model of Interest Rate Dynamics / rank | |||
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Property / cites work: Interest rate models -- theory and practice / rank | |||
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Latest revision as of 21:54, 3 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Moment explosion in the LIBOR market model |
scientific article |
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Moment explosion in the LIBOR market model (English)
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31 March 2011
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LIBOR market model
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moment explosion
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distribution tails
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