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Document type:
Buchbeitrag 
Author(s):
Steinrücke, L.; Swishchuk, A.; Zagst, R. 
Cooperation:
international 
Title:
The LIBOR Market Model: A Markov-switching Jump Diffusion Extension 
Pages contribution:
85-116 
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...    »
 
Keywords:
Hidden Markov Models in Finance: Further Developments and Applications 
Editor:
Elliot, R.; Mamon, R. 
Book title:
Hidden Markov Models in Finance: Further Developments and Applications 
Volume:
Intellectual Contribution:
Discipline-based Research 
Publisher:
Springer US 
Year:
2014 
Print-ISBN:
978-1-4899-7442-6 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Category:
textbook