A mean-field extension of the LIBOR market model
Year of publication: |
2022
|
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Authors: | Desmettre, Sascha ; Hochgerner, Simon ; Omerovic, Sanela ; Thonhauser, Stefan |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 25.2022, 1, Art.-No. 2250005, p. 1-35
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Subject: | Black's formula | exploding rates | LIBOR market models | life insurance portfolios | mean-field games | solvency II | valuation of long-term guarantees | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Lebensversicherung | Life insurance | Optionspreistheorie | Option pricing theory |
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