Interpolation schemes in the displaced-diffusion LIBOR market model

DOI10.1137/100788008zbMATH Open1255.91413OpenAlexW2030253571MaRDI QIDQ4902227FDOQ4902227

Authors: Christopher Beveridge, Mark Joshi 

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100788008

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zbMATH Keywords

interpolationLIBOR market model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (5)

• A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
• Title not available (Why is that?)
• The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
• Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
• Title not available (Why is that?)

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