A Unified View of LIBOR Models (Q4976510)

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scientific article; zbMATH DE number 6754931
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English
A Unified View of LIBOR Models
scientific article; zbMATH DE number 6754931

    Statements

    title
    A Unified View of LIBOR Models (English)
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    author
    Kathrin Glau
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    Zorana Grbac
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    Antonis Papapantoleon
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    publication date
    31 July 2017
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    zbMATH Keywords
    Libor
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    forward price
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    semimartingales
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    Libor market models
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    Lévy forward price models
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    affine Libor models
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60G44
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    60H30
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    zbMATH DE Number
    6754931
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    OpenAlex ID
    W3122284141
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    arXiv ID
    1601.01352
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