Benutzer: Gast  Login
Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Glau, K.; Grbac, Z.; Papapantoleon, A. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
A Unified View on LIBOR Models 
Abstract:
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be arbitrage-free, which are easily verifiable, and for the LIBOR rates to be true martingales under the respective forward measures. We discuss when the conditions are also necessary and comment on further desirable properties such as those leading to analytical tractabi...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
accepted for publication in the Festschrift in honour of Ernst Eberlein 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2016 
Reviewed:
ja 
Sprache:
en 
Status:
Postprint / reviewed 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisziplinarität:
Nein 
Leitbild:
Ethics & Sustainability:
Nein