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The Lévy LIBOR model · Study

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ArticleThe Lévy LIBOR model

Ernst Eberlein2005

Article2005

The Lévy LIBOR model

Ernst Eberlein · Fehmi Özkan

111 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1973The Pricing of Options and Corporate Liabilities 1976The pricing of commodity contracts 1997The Market Model of Interest Rate Dynamics 2001Interest Rate Models Theory and Practice 2004Credit Risk: Modeling, Valuation and Hedging 1997LIBOR and swap market models and measures 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates 1997Towards a general theory of bond markets

Cited by

2010MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING 2010Jump-adapted discretization schemes for Lévy-driven SDEs 2012EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL 2005Time-inhomogeneous Levy processes in interest rate and credit risk models 2018Chebyshev interpolation for parametric option pricing 2009Jump–Type Lévy Processes

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2005Time-inhomogeneous Levy processes in interest rate and credit risk modelsthesis · 11 shared references 2013Financial Asset Pricing Theorybook · 7 shared references 2012THE AFFINE LIBOR MODELSarticle · 7 shared references 2004Review Paper. Interest–rate term–structure pricing models: a reviewarticle · 7 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 6 shared references 2006THEORY AND CALIBRATION OF SWAP MARKET MODELSarticle · 6 shared references

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Year2005

Typearticle

Published2005-06-06

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations111

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-004-0145-4

openalex_workW2032865375

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2012

THE AFFINE LIBOR MODELS

2014A Lévy HJM multiple-curve model with application to CVA computation