Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
Markus Leippold; Jacob Strømberg
| Year of publication: |
2014
|
|---|---|
| Authors: | Leippold, Markus ; Strømberg, Jacob |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 111.2014, 1, p. 224-250
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| Subject: | LIBOR market models | Time-changed Lévy process | Caps volatilities | Swaption cube | Unscented Kalman filter | Zinsstruktur | Yield curve | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Zustandsraummodell | State space model | Swap | EU-Staaten | EU countries |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010255531