The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension
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Publication:4562477
DOI10.1007/978-1-4899-7442-6_4zbMath1418.91559OpenAlexW122559441MaRDI QIDQ4562477
Lea Steinrücke, Rudi Zagst, Anatoliy Swishchuk
Publication date: 21 December 2018
Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4899-7442-6_4
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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