Old and new approaches to LIBOR modeling

Antonis Papapantoleon

Papers from arXiv.org

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: 2009-10, Revised 2010-04
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Citations: View citations in EconPapers (4)

Published in Statistica Neerlandica 2010, Vol. 64, No. 3, 257-275

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0910.4941

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