Work

Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube

Year: 2013

Type: article

Source: Journal of Financial Economics

DOI: 10.1016/j.jfineco.2013.08.016

Authors: Markus Leippold, Jacob Strømberg

Institutions: University of Zurich, Swiss Finance Institute

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W3123316945

FWCI: 0.582

Cites: 41

Cited by: 9

Related to: 10