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- W3150822088 abstract "The LIBOR market model is very popular for pricing interest rate derivatives, but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the complexity of the drift term is growing exponentially fast (as a function of the tenor length). In this work, we consider a Levy-driven LIBOR model and aim at developing accurate and efficient log-Levy approximations for the dynamics of the rates. The approximations are based on truncation of the drift term and Picard approximation of suitable processes. Numerical experiments for FRAs, caps and swaptions show that the approximations perform very well. In addition, we also consider the log-Levy approximation of annuities, which offers good approximations for high volatility regimes." @default.
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- W3150822088 date "2011-01-01" @default.
- W3150822088 modified "2023-09-24" @default.
- W3150822088 title "Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models" @default.
- W3150822088 hasPublicationYear "2011" @default.
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