The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension

2014 ◽  
pp. 85-116 ◽  
Author(s):  
Lea Steinrücke ◽  
Rudi Zagst ◽  
Anatoliy Swishchuk
Keyword(s):  
Markov Switching ◽  
Jump Diffusion ◽  
Market Model ◽  
Libor Market Model

The Markov-switching jump diffusion LIBOR market model

2014 ◽  
Vol 15 (3) ◽  
pp. 455-476 ◽  
Author(s):  
L. Steinruecke ◽  
R. Zagst ◽  
A. Swishchuk
Keyword(s):  
Markov Switching ◽  
Jump Diffusion ◽  
Market Model ◽  
Libor Market Model

The Markov-Switching Jump Diffusion Libor Market Model

2013 ◽  
Author(s):  
Lea Steinrrcke ◽  
Rudi Zagst ◽  
Anatoliy V. Swishchuk
Keyword(s):  
Markov Switching ◽  
Jump Diffusion ◽  
Market Model ◽  
Libor Market Model

Comparing Discretization of the LIBOR Market Model in the Spot Measure

2008 ◽  
Author(s):  
Christopher Beveridge ◽  
Nick Denson ◽  
Mark S. Joshi
Keyword(s):  
Market Model ◽  
Libor Market Model
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