A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL (Q5066297)
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scientific article; zbMATH DE number 7499767
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL |
scientific article; zbMATH DE number 7499767 |
Statements
A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL (English)
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29 March 2022
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LIBOR market models
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Solvency II
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valuation of long-term guarantees
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life insurance portfolios
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exploding rates
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mean-field games
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Black's formula
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