Old and new approaches to LIBOR modeling
classification
💱 q-fin.PR
math.PR
keywords
libormodelsapproachesmodelingaffinearticleclassicalclose
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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.
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