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Document type:
Zeitschriftenaufsatz 
Author(s):
Steinrücke, L.; Swishchuk, A.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
The Markov-switching Jump Diffusion LIBOR Market Model 
Abstract:
Since its introduction in 1997, the LMM has experienced an unprecedented raise in popularity and has become the most popular pricing approach among practitioners. The model has, however, been criticized for not being suited to adequately reproduce the market-observed prices of interest-rate derivatives. In particular, the presumption that the LIBOR dynamics can be modeled as diffusion processes with deterministic coefficients has been challenged. In this paper, we present an extension to the ori...    »
 
Keywords:
LIBOR Market Model, Jump Diffusion, Markov Switching, Heath-Jarrow-Morton Model, Pricing, Parameter Estimation 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Quantitative Finance 
Journal listet in FT50 ranking:
nein 
Year:
2015 
Journal volume:
15 
Journal issue:
Pages contribution:
455-476 
Reviewed:
ja 
Language:
en 
Publisher:
Springer 
Status:
Verlagsversion / published 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
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