Merener, Nicolas; Glasserman, Paul - In: Finance and Stochastics 7 (2003) 1, pp. 1-27
This paper develops, analyzes, and tests computational procedures for the numerical solution of LIBOR market models … intensities that depend on the LIBOR rates themselves. While this formulation offers some attractive modeling features, it … without discretization error. Jumps in LIBOR rates are then thinned from the Poisson random measure using state …