THE AFFINE LIBOR MODELS (Q2851558)

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THE AFFINE LIBOR MODELS
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    title
    THE AFFINE LIBOR MODELS (English)
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    author
    Martin Keller-Ressel
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    Antonis Papapantoleon
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    Josef Teichmann
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    publication date
    11 October 2013
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    zbMATH DE Number
    6215361
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    zbMATH Keywords
    Libor rate models
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    forward price models
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    affine processes
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    analytically tractable models
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    OpenAlex ID
    W2109934077
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    arXiv ID
    0904.0555
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    cites work
    The Lévy LIBOR model
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    Mathematical Finance
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    Q5653423
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    Q4350437
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    Q4937701
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