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A tractable LIBOR model with default risk - MaRDI portal

A tractable LIBOR model with default risk (Q356479)

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English
A tractable LIBOR model with default risk
scientific article

    Statements

    title
    A tractable LIBOR model with default risk (English)
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    author
    Zorana Grbac
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    Antonis Papapantoleon
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    publication date
    25 July 2013
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    zbMATH Keywords
    LIBOR rates
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    default risk
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    affine processes
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    affine LIBOR models
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    analytically tractable models
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    CDS spread
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    counterparty risk
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    Identifiers

    Mathematics Subject Classification ID
    91G40
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    91G30
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    60G44
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    91G20
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    zbMATH DE Number
    6191714
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    OpenAlex ID
    W2149865189
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    arXiv ID
    1202.0587
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