The Markov-switching jump diffusion LIBOR market model (Q4683051)
From MaRDI portal
scientific article; zbMATH DE number 6939255
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Markov-switching jump diffusion LIBOR market model |
scientific article; zbMATH DE number 6939255 |
Statements
The Markov-switching jump diffusion LIBOR market model (English)
0 references
19 September 2018
0 references
LIBOR market model
0 references
jump diffusion
0 references
Markov-switching
0 references
Heath-Jarrow-Morton model
0 references
pricing
0 references
parameter estimation
0 references
0 references
0 references
0 references
