Old and new approaches to LIBOR modeling

Details Old and new approaches to LIBOR modeling Old and new approaches to LIBOR modeling

2009-10-26

arxiv.org/abs/0910.4941v3

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

Economy

Quantitative Finance

Pricing of Securities

18 pages, 2 figures, to appear in Statistica Neerlandica (special issue)

Scientific paper

10.1111/j.1467-9574.2010.00458.x

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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