On the valuation of compositions in Levy term structure models
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kathrin Glau & Zorana Grbac & Antonis Papapantoleon, 2016. "A unified view of LIBOR models," Papers 1601.01352, arXiv.org, revised Jul 2016.
- 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.
More about this item
KeywordsAffine term structure models; Applied mathematical finance; Interest rate modelling; Levy process;
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