Interest Rates After the Credit Crunch: Markets and Models Evolution
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- Leippold, Markus & Strømberg, Jacob, 2014. "Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube," Journal of Financial Economics, Elsevier, vol. 111(1), pages 224-250.
More about this item
Keywordscrisis; liquidity; credit; counterparty; risk; fixed income; Libor; Euribor; Eonia; yield curve; forward curve; discount curve; single curve; multiple curve; volatility surface; collateral; CSA discounting; no arbitrage; pricing; interest rate derivative;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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