Dependence structure between LIBOR rates by copula method
From MaRDI portal
Publication:2258129
DOI10.1007/s11464-014-0315-4zbMath1336.60136MaRDI QIDQ2258129
Zhi Zheng, Jing-Ping Yang, Yi-Jun Wu, Shu Lin Zhou
Publication date: 2 March 2015
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-014-0315-4
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Martingale methods in financial modelling.
- The LIBOR model dynamics: Approximations, calibration and diagnostics
- An introduction to copulas.
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- The Market Model of Interest Rate Dynamics
- Interest rate models -- theory and practice