Numerical solution of jump-diffusion LIBOR market models

DOI10.1007/s007800200076zbMath1035.60047MaRDI QIDQ1424699

Paul Glasserman, Nicolas Merener

Publication date: 16 March 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200076

zbMATH Keywords

Monte Carlo simulation; market models; marked point processes; interest rate models

Mathematics Subject Classification ID

65C05: Monte Carlo methods

91G30: Interest rates, asset pricing, etc. (stochastic models)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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