The Lévy LIBOR model
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- Antonis Papapantoleon, 2010. "Old and new approaches to LIBOR modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 257-275.
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More about this item
KeywordsLévy processes; LIBOR market model; forward process; instantaneous forward rates; caps; floors;
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