Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube
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More about this item
KeywordsLIBOR market models; Time-changed Lévy process; Caps volatilities; Swaption cube; Unscented Kalman filter;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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