CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs

DOI10.1142/S0219024917500212zbMath1360.91146OpenAlexW2596613427MaRDI QIDQ2976135

Jaka Gogala, Joanne Kennedy

Publication date: 13 April 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500212

zbMATH Keywords

separabilityLIBOR market modeltime-homogeneityLevi-Civita equationMarkov-functional models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Unnamed Item
• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• New and robust drift approximations for the LIBOR market model
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• WHEN IS THE SHORT RATE MARKOVIAN?
• The Market Model of Interest Rate Dynamics
• Volatility skews and extensions of the Libor market model
• Level–Slope–Curvature – Fact or Artefact?
• Markov-functional interest rate models

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