THE AFFINE LIBOR MODELS
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Publication:2851558
DOI10.1111/j.1467-9965.2012.00531.xzbMath1275.91140arXiv0904.0555OpenAlexW2109934077MaRDI QIDQ2851558
Josef Teichmann, Antonis Papapantoleon, Martin Keller-Ressel
Publication date: 11 October 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0904.0555
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (17)
THE AFFINE RATIONAL POTENTIAL MODEL ⋮ Chebyshev interpolation for parametric option pricing ⋮ Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration ⋮ Conditional Default Probability and Density ⋮ A tractable LIBOR model with default risk ⋮ Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations ⋮ A multi-curve HJM factor model for pricing and risk management ⋮ A pure-jump mean-reverting short rate model ⋮ The affine inflation market models ⋮ Exponential stock models driven by tempered stable processes ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ Rational Models for Inflation-Linked Derivatives ⋮ AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL ⋮ Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA ⋮ Affine LIBOR models driven by real-valued affine processes ⋮ Affine processes beyond stochastic continuity ⋮ A Unified View of LIBOR Models
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