Dependence structure between LIBOR rates by copula method
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Publication:2258129
DOI10.1007/s11464-014-0315-4zbMath1336.60136OpenAlexW1975737162MaRDI QIDQ2258129
Zhi Zheng, Jing-Ping Yang, Yi-Jun Wu, Shu Lin Zhou
Publication date: 2 March 2015
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-014-0315-4
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
Cites Work
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- Martingale methods in financial modelling.
- The LIBOR model dynamics: Approximations, calibration and diagnostics
- An introduction to copulas.
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- The Market Model of Interest Rate Dynamics
- Interest rate models -- theory and practice
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