RATING BASED LÉVY LIBOR MODEL (Q2851557)

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RATING BASED LÉVY LIBOR MODEL
scientific article

    Statements

    title
    RATING BASED LÉVY LIBOR MODEL (English)
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    author
    Ernst Eberlein
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    Zorana Grbac
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    publication date
    11 October 2013
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    zbMATH Keywords
    credit risk
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    ratings
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    time-inhomogeneous Lévy process
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    Libor
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    conditional Markov chain
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    91G40
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    91G20
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    60G51
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    60J20
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    zbMATH DE Number
    6215360
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