Libor Market Model with Stochastic Basis - Calibration Using OIS Yield and Money Market Basis Spreads

2013 ◽  
Author(s):  
Joerg Kienitz
Keyword(s):  
Money Market ◽  
Market Model ◽  
Libor Market Model ◽  
Stochastic Basis

Comparing Discretization of the LIBOR Market Model in the Spot Measure

2008 ◽  
Author(s):  
Christopher Beveridge ◽  
Nick Denson ◽  
Mark S. Joshi
Keyword(s):  
Market Model ◽  
Libor Market Model
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