The Markov-switching jump diffusion LIBOR market model (Q4683051): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/14697688.2014.962594 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2045075099 / rank | |||
Normal rank | |||
Revision as of 19:53, 19 March 2024
scientific article; zbMATH DE number 6939255
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Markov-switching jump diffusion LIBOR market model |
scientific article; zbMATH DE number 6939255 |
Statements
The Markov-switching jump diffusion LIBOR market model (English)
0 references
19 September 2018
0 references
LIBOR market model
0 references
jump diffusion
0 references
Markov-switching
0 references
Heath-Jarrow-Morton model
0 references
pricing
0 references
parameter estimation
0 references
