The Lévy LIBOR model
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Publication:2488483
DOI10.1007/s00780-004-0145-4zbMath1088.60074OpenAlexW2032865375MaRDI QIDQ2488483
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0145-4
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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