RATING BASED LÉVY LIBOR MODEL
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Publication:2851557
DOI10.1111/j.1467-9965.2011.00514.xzbMath1311.91181OpenAlexW1613654267MaRDI QIDQ2851557
Publication date: 11 October 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00514.x
Processes with independent increments; Lévy processes (60G51) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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