A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL (Q5066297): Difference between revisions

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Revision as of 11:37, 28 July 2024

scientific article; zbMATH DE number 7499767
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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)
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    29 March 2022
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    LIBOR market models
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    Solvency II
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    valuation of long-term guarantees
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    life insurance portfolios
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    exploding rates
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    mean-field games
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    Black's formula
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