Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
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
|
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 |
-
A unified view of LIBOR models
Glau, Kathrin, (2016)
-
Pricing with finite dimensional dependence
Gouriéroux, Christian, (2015)
-
The Co-Terminal Swap Market Model with Bergomi Stochastic Volatility
Oya, Kenjiro, (2018)
- More ...
-
Leippold, Markus, (2014)
-
Numerische Methoden in der Optionspreistheorie : Monte-Carlo- und Quasi-Monte-Carlo-Methoden
Leippold, Markus, (1997)
-
Thus spoke GPT-3 : interviewing a large-language model on climate finance
Leippold, Markus, (2023)
- More ...