1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PR2015
The affine inflation market models
Stefan Waldenberger
Interest rate market models, like the LIBOR market model, have the advantage that the basic model quantities are directly observable in financial markets. Inflation market models e…
q-fin.PR2015★ 1 cited
Affine LIBOR models driven by real-valued affine processes
Stefan Waldenberger, Wolfgang Müller
The class of affine LIBOR models is appealing since it satisfies three central requirements of interest rate modeling. It is arbitrage-free, interest rates are nonnegative and capl…