The LIBOR market model: A markov-switching jump diffusion extension

Keyphrases

• Markov Switching 100%
• LIBOR Market Model 100%
• Switching Jump Diffusion 100%
• Structural Change 33%
• Diffusion Process 33%
• Economic Climate 33%
• Structural Breaks 33%
• Interest Rates 33%
• Pricing Formulae 33%
• Fourier Pricing 33%
• Interest Rate Derivatives 33%
• Caplet 33%
• Simple Diffusion 33%
• Market Shocks 33%
• Forward Measure 33%

Economics, Econometrics and Finance

• Yield Curve 100%
• Pricing 33%
• Interest Rate 33%
• Interest Rate Derivative 33%
• Climate Economics 33%