The Levy Swap Market Model
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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.
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KeywordsSwap rates; swap market model; swaption; forward swap measure; Levy process; interest rate model;
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