Old and new approaches to LIBOR modeling
AbstractIn this article, we review the construction and properties of some popular approaches to modeling LIBOR rates. We discuss the following frameworks: classical LIBOR market models, forward price models and Markov-functional models. We close with the recently developed affine LIBOR models.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0910.4941.
Date of creation: Oct 2009
Date of revision: Apr 2010
Publication status: Published in Statistica Neerlandica 2010, Vol. 64, No. 3, 257-275
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-31 (All new papers)
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