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Dokumenttyp:
Buchbeitrag 
Autor(en):
Steinrücke, L.; Swishchuk, A.; Zagst, R. 
Kooperation:
international 
Titel:
The LIBOR Market Model: A Markov-switching Jump Diffusion Extension 
Abstract:
This paper demonstrates how the LIBOR Market Model of Brace et al. (Math Financ 7(2):127–147, 1997) and Miltersen et al. (J Financ 52(1):409–430, 1997) may be extended in a way that not only takes into account sudden market shocks without long-term effects, but also allows for structural breaks and changes in the overall economic climate. This is achieved by substituting the simple diffusion process of the original LIBOR Market model by a Markov-switching jump diffusion. Since interest rates of...    »
 
Seitenangaben Beitrag:
85-116 
Stichworte:
Hidden Markov Models in Finance: Further Developments and Applications 
Herausgeber:
Elliot, R.; Mamon, R. 
Buchtitel:
Hidden Markov Models in Finance: Further Developments and Applications 
Band / Teilband / Volume:
Intellectual Contribution:
Discipline-based Research 
Verlag / Institution:
Springer US 
Jahr:
2014 
Print-ISBN:
978-1-4899-7442-6 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Kategorie:
textbook