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The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension - MaRDI portal

The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension (Q4562477)

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scientific article; zbMATH DE number 6996404
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English
The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension
scientific article; zbMATH DE number 6996404

    Statements

    title
    The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension (English)
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    author
    Lea Steinrücke
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    Rudi Zagst
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    Anatoliy Swishchuk
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    publication date
    21 December 2018
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    zbMATH Keywords
    LIBOR market
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    Markov-switching jump diffusion
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    cites work
    Q4856188
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    Q4845603
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    The Lévy LIBOR model
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    Q4323296
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    Q4778955
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    Q4486401
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60J75
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    60J20
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    zbMATH DE Number
    6996404
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    OpenAlex ID
    W122559441
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