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: 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
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