A Mean-Field Extension of the LIBOR Market Model

Research output: Contribution to journal › Article › peer-review

Original language	English
Article number	2250005
Number of pages	35
Journal	International Journal of Theoretical and Applied Finance
Volume	25
Issue number	1
DOIs	https://doi.org/10.1142/S0219024922500054
Publication status	Published - Mar 2022

Fields of science

@article{1d3be0282b9544b289e31fb989f96765,

title = "A Mean-Field Extension of the LIBOR Market Model",

author = "Sascha Desmettre and Simon Hochgerner and Sanela Omerovic and Stefan Thonhauser",

year = "2022",

month = mar,

doi = "10.1142/S0219024922500054",

language = "English",

volume = "25",

journal = "International Journal of Theoretical and Applied Finance",

issn = "1793-6322",

number = "1",

}

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T1 - A Mean-Field Extension of the LIBOR Market Model

AU - Desmettre, Sascha

AU - Hochgerner, Simon

AU - Omerovic, Sanela

AU - Thonhauser, Stefan

PY - 2022/3

Y1 - 2022/3

U2 - 10.1142/S0219024922500054

DO - 10.1142/S0219024922500054

M3 - Article

SN - 1793-6322

VL - 25

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

IS - 1

M1 - 2250005

ER -