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Title:

A Unified View on LIBOR Models

Document type:
Zeitschriftenaufsatz
Author(s):
Glau, K.; Grbac, Z.; Papapantoleon, A.
Non-TUM Co-author(s):
ja
Cooperation:
international
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
Journal title:
accepted for publication in the Festschrift in honour of Ernst Eberlein
Journal listet in FT50 ranking:
nein
Year:
2016
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1007/978-3-319-45875-5_18
WWW:
http://arxiv.org/abs/1601.01352
Status:
Postprint / reviewed
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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