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20102022
most citedDynamic Term Structure Models for SOFR Futures

4 citations · 4 across the 4 of their papers we have counts for

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Showing 2011Show all

1 paper · 1 filter

q-fin.CP2011

Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models

Antonis Papapantoleon, John Schoenmakers, David Skovmand

The LIBOR market model is very popular for pricing interest rate derivatives, but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the…