Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model

DOI10.1137/100788008zbMath1255.91413OpenAlexW2030253571MaRDI QIDQ4902227

Mark S. Joshi, Christopher Beveridge

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100788008

zbMATH Keywords

interpolationLIBOR market model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM ⋮ Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA

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