THE AFFINE LIBOR MODELS

DOI10.1111/j.1467-9965.2012.00531.xzbMath1275.91140arXiv0904.0555OpenAlexW2109934077MaRDI QIDQ2851558

Josef Teichmann, Antonis Papapantoleon, Martin Keller-Ressel

Publication date: 11 October 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.0555

zbMATH Keywords

affine processesanalytically tractable modelsforward price modelsLibor rate models

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (17)

THE AFFINE RATIONAL POTENTIAL MODEL ⋮ Chebyshev interpolation for parametric option pricing ⋮ Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration ⋮ Conditional Default Probability and Density ⋮ A tractable LIBOR model with default risk ⋮ Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations ⋮ A multi-curve HJM factor model for pricing and risk management ⋮ A pure-jump mean-reverting short rate model ⋮ The affine inflation market models ⋮ Exponential stock models driven by tempered stable processes ⋮ Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model ⋮ Rational Models for Inflation-Linked Derivatives ⋮ AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL ⋮ Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA ⋮ Affine LIBOR models driven by real-valued affine processes ⋮ Affine processes beyond stochastic continuity ⋮ A Unified View of LIBOR Models

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