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Title:

The LIBOR Market Model: A Markov-switching Jump Diffusion Extension

Document type:
Buchbeitrag
Author(s):
Steinrücke, L.; Swishchuk, A.; Zagst, R.
Cooperation:
international
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:
2
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
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