The Markov-switching jump diffusion LIBOR market model (Q4683051)
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scientific article; zbMATH DE number 6939255
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English | The Markov-switching jump diffusion LIBOR market model |
scientific article; zbMATH DE number 6939255 |
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The Markov-switching jump diffusion LIBOR market model (English)
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19 September 2018
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LIBOR market model
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jump diffusion
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Markov-switching
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Heath-Jarrow-Morton model
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pricing
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parameter estimation
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