Numerical solution of jump-diffusion LIBOR market models
Year of publication: |
2002-11-13
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Authors: | Merener, Nicolas ; Glasserman, Paul |
Published in: |
Finance and Stochastics. - Springer. - Vol. 7.2003, 1, p. 1-27
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Publisher: |
Springer |
Subject: | Interest rate models | Monte Carlo simulation | market models | marked point processes |
Extent: | application/pdf |
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Type of publication: | Article |
Notes: | received: February 2001; final version received: April 2002 |
Classification: | G13 - Contingent Pricing; Futures Pricing ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
-
Arbitrage-free discretization of lognormal forward Libor and swap rate models
Zhao, Xiaoliang, (1999)
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Conditional Gaussian models of the term structure of interest rates
Babbs, Simon H., (2002)
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Interest Rate Dynamics and Consistent Forward Rate Curves
Björk, Tomas, (1997)
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Numerical solution of jump-diffusion LIBOR market models
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Cap and Swaption Approximations in Libor Market Models with Jumps
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