LIBOR MARKET MODEL UNDER THE REAL-WORLD MEASURE

DOI10.1142/S0219024913500246zbMath1271.91106MaRDI QIDQ2842538

Takashi Yasuoka

Publication date: 15 August 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

principal component analysisterm structure modelLibor market modelmarket price of riskJamshidianreal-world simulation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Real-World Scenarios With Negative Interest Rates Based on the LIBOR Market Model

Cites Work

• The yield curve and financial risk premia. Implications for monetary policy.
• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• The Market Model of Interest Rate Dynamics
• AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK
• An equilibrium characterization of the term structure

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