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Title:

The Markov-switching Jump Diffusion LIBOR Market Model

Document type:
Zeitschriftenaufsatz
Author(s):
Steinrücke, L.; Swishchuk, A.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
Since its introduction in 1997, the LMM has experienced an unprecedented raise in popularity and has become the most popular pricing approach among practitioners. The model has, however, been criticized for not being suited to adequately reproduce the market-observed prices of interest-rate derivatives. In particular, the presumption that the LIBOR dynamics can be modeled as diffusion processes with deterministic coefficients has been challenged. In this paper, we present an extension to the ori...     »
Keywords:
LIBOR Market Model, Jump Diffusion, Markov Switching, Heath-Jarrow-Morton Model, Pricing, Parameter Estimation
Intellectual Contribution:
Discipline-based Research
Journal title:
Quantitative Finance
Journal listet in FT50 ranking:
nein
Year:
2015
Journal volume:
15
Journal issue:
3
Pages contribution:
455-476
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1080/14697688.2014.962594
Publisher:
Springer
Status:
Verlagsversion / published
Format:
Text
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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