Pages that link to "Item:Q4562477"
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The following pages link to The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension (Q4562477):
Displaying 6 items.
- Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model (Q601887) (← links)
- Moment explosion in the LIBOR market model (Q633049) (← links)
- Multiple stochastic volatility extension of the Libor market model and its implementation (Q3405598) (← links)
- A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation (Q4647291) (← links)
- The Markov-switching jump diffusion LIBOR market model (Q4683051) (← links)
- An almost Markovian LIBOR market model calibrated to caps and swaptions (Q5247275) (← links)