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

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+Spectral calibration of exponential Lévy models
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+Normal rank
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+Spatial aggregation of local likelihood estimates with applications to classification
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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
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+Financial Modelling with Jump Processes
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+The Term Structure of Simple Forward Rates with Jump Risk
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+LIBOR and swap market models and measures
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+Robust Libor Modelling and Pricing of Derivative Products
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