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The Markov-switching jump diffusion LIBOR market model - MaRDI portal

The Markov-switching jump diffusion LIBOR market model (Q4683051)

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scientific article; zbMATH DE number 6939255
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The Markov-switching jump diffusion LIBOR market model
scientific article; zbMATH DE number 6939255

    Statements

    title
    The Markov-switching jump diffusion LIBOR market model (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
    19 September 2018
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    zbMATH Keywords
    LIBOR market model
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    jump diffusion
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    Markov-switching
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    Heath-Jarrow-Morton model
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    pricing
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    parameter estimation
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    cites work
    Q4856188
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    The Lévy LIBOR model
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    Q3969647
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    Q4323296
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    Q4486401
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    91G20
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    60J75
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    zbMATH DE Number
    6939255
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    OpenAlex ID
    W2045075099
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