RATING BASED LÉVY LIBOR MODEL
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Publication:2851557
DOI10.1111/j.1467-9965.2011.00514.xzbMath1311.91181MaRDI QIDQ2851557
Publication date: 11 October 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00514.x
60G51: Processes with independent increments; Lévy processes
60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk
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Cites Work
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