Old and new approaches to LIBOR modeling
Pricing of Securities
2010-07-22 v3 Probability
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.
Keywords
Cite
@article{arxiv.0910.4941,
title = {Old and new approaches to LIBOR modeling},
author = {Antonis Papapantoleon},
journal= {arXiv preprint arXiv:0910.4941},
year = {2010}
}
Comments
18 pages, 2 figures, to appear in Statistica Neerlandica (special issue)