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Libor market model under the real-world measure. (English) Zbl 1271.91106

MSC:
91G30 Interest rates, asset pricing, etc. (stochastic models)
91B30 Risk theory, insurance (MSC2010)
91G70 Statistical methods; risk measures
91B74 Economic models of real-world systems (e.g., electricity markets, etc.)
91B82 Statistical methods; economic indices and measures
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References:
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[2] DOI: 10.2307/1911242 · Zbl 1274.91447 · doi:10.2307/1911242
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[6] DOI: 10.1007/s007800050026 · Zbl 0888.60038 · doi:10.1007/s007800050026
[7] DOI: 10.2307/2329571 · doi:10.2307/2329571
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[10] DOI: 10.2307/2329471 · doi:10.2307/2329471
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This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.