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Old and new approaches to LIBOR modeling

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  • Antonis Papapantoleon

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.

Suggested Citation

  • Antonis Papapantoleon, 2010. "Old and new approaches to LIBOR modeling," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(3), pages 257-275, August.
    • Handle: RePEc:bla:stanee:v:64:y:2010:i:3:p:257-275
    DOI: 10.1111/j.1467-9574.2010.00458.x
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    Cited by:

    1. Zorana Grbac & Antonis Papapantoleon, 2012. "A tractable LIBOR model with default risk," Papers 1202.0587, arXiv.org, revised Oct 2012.
    2. Kathrin Glau & Zorana Grbac & Antonis Papapantoleon, 2016. "A unified view of LIBOR models," Papers 1601.01352, arXiv.org, revised Jul 2016.
    3. Zorana Grbac & Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2014. "Affine LIBOR models with multiple curves: theory, examples and calibration," Papers 1405.2450, arXiv.org, revised Aug 2015.

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