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math.PR2021★ 4 cited
A mean-field extension of the LIBOR market model
Sascha Desmettre, Simon Hochgerner, Sanela Omerovic +1
We introduce a mean-field extension of the LIBOR market model (LMM) which preserves the basic features of the original model. Among others, these features are the martingale proper…
math.PR2011★ 1 cited
Symmetry reduction of Brownian motion and Quantum Calogero-Moser systems
Simon Hochgerner
Let be a Riemannian -manifold. This paper is concerned with the symmetry reduction of Brownian motion in and ramifications thereof in a Hamiltonian context. Specializing…