Old and new approaches to LIBOR modeling
In this article, we review the construction and properties of some popular approaches to modeling LIBOR rates. We discuss the following frameworks: classical LIBOR market models, forward price models and Markov-functional models. We close with the recently developed affine LIBOR models.
|Date of creation:||Oct 2009|
|Date of revision:||Apr 2010|
|Publication status:||Published in Statistica Neerlandica 2010, Vol. 64, No. 3, 257-275|
|Contact details of provider:|| Web page: http://arxiv.org/|
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