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. - Elsevier, ISSN 0304-405X. - Vol. 111.2014, 1, p. 224-250
|
Publisher: |
Elsevier |
Subject: | LIBOR market models | Time-changed Lévy process | Caps volatilities | Swaption cube | Unscented Kalman filter |
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