Classification of two- and three-factor time-homogeneous separable LMMs

DOI10.1142/S0219024917500212MaRDI QIDQ2976135zbMATH OpenOpenAlexFDO

Authors Jaka Gogala, Joanne E. Kennedy

Publication date 13 April 2017

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024917500212

zbMATH Keywords

Levi-Civita equationLIBOR market modelMarkov-functional modelsseparabilitytime-homogeneity

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Continuous-time term structure models: Forward measure approach
• scientific article; zbMATH DE number 3225653 (Why is no real title available?)
• Level–Slope–Curvature – Fact or Artefact?
• LIBOR and swap market models and measures
• Markov-functional interest rate models
• New and robust drift approximations for the LIBOR market model
• The Market Model of Interest Rate Dynamics
• Volatility skews and extensions of the Libor market model
• WHEN IS THE SHORT RATE MARKOVIAN?

Cited in

(1)

• TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES

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