Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David Affine LIBOR models with multiple curves: theory, examples and calibration. (English) Zbl 1338.91143 SIAM J. Financ. Math. 6, 984-1025 (2015). MSC: 91G30 91G20 60G44 PDFBibTeX XMLCite \textit{Z. Grbac} et al., SIAM J. Financ. Math. 6, 984--1025 (2015; Zbl 1338.91143) Full Text: DOI arXiv
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models. arXiv:1106.0866 Preprint, arXiv:1106.0866 [q-fin.CP] (2011). MSC: 91G30 91G60 60G51 BibTeX Cite \textit{A. Papapantoleon} et al., ``Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models'', Preprint, arXiv:1106.0866 [q-fin.CP] (2011) Full Text: arXiv OA License
Papapantoleon, Antonis; Skovmand, David Picard approximation of stochastic differential equations and application to LIBOR models. arXiv:1007.3362 Preprint, arXiv:1007.3362 [q-fin.CP] (2010). MSC: 91G30 91G60 60G51 BibTeX Cite \textit{A. Papapantoleon} and \textit{D. Skovmand}, ``Picard approximation of stochastic differential equations and application to LIBOR models'', Preprint, arXiv:1007.3362 [q-fin.CP] (2010) Full Text: arXiv OA License
Papapantoleon, Antonis; Skovmand, David Numerical methods for the Lévy LIBOR model. arXiv:1006.3340 Preprint, arXiv:1006.3340 [q-fin.CP] (2010). BibTeX Cite \textit{A. Papapantoleon} and \textit{D. Skovmand}, ``Numerical methods for the L\'evy LIBOR model'', Preprint, arXiv:1006.3340 [q-fin.CP] (2010) Full Text: arXiv OA License