Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - School of Economics and Management, University of Aarhus - 2011
The LIBOR market model is very popular for pricing interest rate derivatives, but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the complexity of the drift term is growing exponentially fast (as a function of the tenor length). In this work, we...
