69 citations · 135 across the 5 of their papers we have counts for
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math.PR2011
LIBOR Interpolation and the HJM Model
Andreas Hula
We follow the lines of Musiela and Rutkowski and extend their interpolation method to models with jumps. Together with an extension method for the tenor structure of a given LIBOR…
math.PR2011
Discrete LIBOR Market Model Analogy
Andreas Hula
This paper provides a discrete time LIBOR analog, which can be used for arbitrage-free discretization of Levy LIBOR models or discrete approximation of continuous time LIBOR market…