A tractable LIBOR model with default risk

DOI10.1007/S11579-012-0090-5zbMath1269.91093arXiv1202.0587OpenAlexW2149865189MaRDI QIDQ356479

Antonis Papapantoleon, Zorana Grbac

Publication date: 25 July 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.0587

zbMATH Keywords

default riskcounterparty riskaffine processesaffine LIBOR modelsanalytically tractable modelsCDS spreadLIBOR rates

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (4)

A general HJM framework for multiple yield curve modelling ⋮ Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration ⋮ The affine inflation market models ⋮ A Multiple Curve Lévy Swap Market Model

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