Moment explosion in the LIBOR market model
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Publication:633049
DOI10.1016/j.spl.2011.01.009zbMath1208.91152arXiv1008.2104OpenAlexW1968851955MaRDI QIDQ633049
Publication date: 31 March 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.2104
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (3)
A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL ⋮ Eurodollar futures pricing in log-normal interest rate models in discrete time ⋮ EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL
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