Old and new approaches to LIBOR modeling
arXiv:0910.4941 · doi:10.1111/j.1467-9574.2010.00458.x
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.
18 pages, 2 figures, to appear in Statistica Neerlandica (special issue)