Affine LIBOR models driven by real-valued affine processes

DOI10.1080/15326349.2015.1128339zbMath1414.91395arXiv1503.00864OpenAlexW1539011843MaRDI QIDQ2811920

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Publication date: 9 June 2016

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.00864

zbMATH Keywords

volatility smileaffine processesforward price modelsLIBOR market models

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items

The affine inflation market models

Cites Work

• Unnamed Item
• A flexible matrix Libor model with smiles
• Affine processes are regular
• Interest rate models -- theory and practice. With smile, inflation and credit
• Time-inhomogeneous affine processes
• The Lévy LIBOR model
• Term Structure Models Driven by General Levy Processes
• THE AFFINE LIBOR MODELS
• MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS