Libor Market Models

180 Pages Posted: 2 May 2016 Last revised: 24 Jan 2018

Date Written: April 30, 2016

Abstract

This manuscript reviews standard classes of Libor Market models and discusses their numerical approximation machinery. It gives introduction to non-defaultable, defaultable models, Levy-forced models and affine Libor models.

Keywords: Libor Market Models; Numerical Approximation of Libor Market Models

JEL Classification: C60; C62; C63

Suggested Citation

Prohl, Silke, Libor Market Models (April 30, 2016). Available at SSRN: https://ssrn.com/abstract=2772858 or http://dx.doi.org/10.2139/ssrn.2772858

Silke Prohl (Contact Author)

Princeton University ( email )

Sherrerd Hall, Charlton Street
Princeton, NJ 08544
United States

NYU ( email )

251 Mercer Street
New York, NY - 10012
United States

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