Old and new approaches to LIBOR modeling

Antonis Papapantoleon

Statistica Neerlandica, 2010, vol. 64, issue 3, 257-275

Abstract: In this article, we review the construction and properties of some popular approaches to modeling LIBOR rates. We discuss the following frameworks: classical LIBOR market models, forward price models and Markov‐functional models. We close with the recently developed affine LIBOR models.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9574.2010.00458.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:64:y:2010:i:3:p:257-275

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0039-0402

Access Statistics for this article

Statistica Neerlandica is currently edited by Miroslav Ristic, Marijtje van Duijn and Nan van Geloven

More articles in Statistica Neerlandica from Netherlands Society for Statistics and Operations Research
Bibliographic data for series maintained by Wiley Content Delivery ().