The Lévy Swap Market Model

DOI10.1080/13504860600724950zbMath1160.91340OpenAlexW2009901942MaRDI QIDQ5297934

Jan Liinev, Ernst Eberlein

Publication date: 16 July 2007

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

Full work available at URL: https://doi.org/10.1080/13504860600724950

zbMATH Keywords

interest rate modelLévy processswap ratesswaptionswap market modelforward swap measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

Pricing cross-currency interest rate swaps under the Lévy market model ⋮ A Multiple Curve Lévy Swap Market Model

Cites Work

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• Models of forward Libor and swap rates
• The Term Structure of Simple Forward Rates with Jump Risk
• Lévy Processes and Stochastic Calculus
• Changes of numéraire, changes of probability measure and option pricing
• Interest rate models -- theory and practice

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