Pages that link to "Item:Q1376240"
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The following pages link to A note on pricing interest rate derivatives when forward LIBOR rates are lognormal (Q1376240):
Displaying 8 items.
- Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities (Q356761) (← links)
- A multicurrency extension of the lognormal interest rate market models (Q1849789) (← links)
- Arbitrage-free discretization of lognormal forward Libor and swap rate models (Q1979076) (← links)
- THEORY AND CALIBRATION OF SWAP MARKET MODELS (Q3446061) (← links)
- Dynamics of Spot, Forward, and Futures Libor Rates (Q4216123) (← links)
- Lognormality of rates and term structure models (Q4487014) (← links)
- The pricing of derivatives on assets with quadratic volatility (Q4551199) (← links)
- Eurodollar futures pricing in log-normal interest rate models in discrete time (Q4585685) (← links)