The Markov-switching jump diffusion LIBOR market model

DOI10.1080/14697688.2014.962594zbMath1398.91631OpenAlexW2045075099MaRDI QIDQ4683051

Rudi Zagst, Anatoliy Swishchuk, Lea Steinrücke

Publication date: 19 September 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2014.962594

zbMATH Keywords

parameter estimationHeath-Jarrow-Morton modelpricingjump diffusionMarkov-switchingLIBOR market model

Mathematics Subject Classification ID

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

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