Dependence structure between LIBOR rates by copula method

DOI10.1007/S11464-014-0315-4MaRDI QIDQ2258129zbMATH OpenOpenAlexFDO

Authors Zhi Zheng, Yi-Jun Wu, Shulin Zhou, Jingping Yang

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

zbMATH Keywords

copula functionLondon interbank offered ratepartial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cites work

• An introduction to copulas.
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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• scientific article; zbMATH DE number 3045283 (Why is no real title available?)
• Interest rate models -- theory and practice
• Martingale methods in financial modelling.
• The LIBOR model dynamics: Approximations, calibration and diagnostics
• The Market Model of Interest Rate Dynamics

Cited in

(1)

• A copula approach to backward-looking factors in market based inflation expectations

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