A Unified View of LIBOR Models

DOI10.1007/978-3-319-45875-5_18zbMath1367.91182arXiv1601.01352OpenAlexW3122284141MaRDI QIDQ4976510

Antonis Papapantoleon, Zorana Grbac, Kathrin Glau

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.01352

zbMATH Keywords

semimartingalesLiborforward priceLibor market modelsaffine Libor modelsLévy forward price models

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA

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