Convexity bias in the pricing of Eurodollar swaps (Q1851134)
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scientific article; zbMATH DE number 1845488
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convexity bias in the pricing of Eurodollar swaps |
scientific article; zbMATH DE number 1845488 |
Statements
Convexity bias in the pricing of Eurodollar swaps (English)
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15 December 2002
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Heath-Jarrow-Morton model
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HJM model
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interest rates
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LIBOR
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futures prices
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arbitrage pricing
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swap
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equivalent martingale measures
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0.91649866
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0.8576944
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0.8567125
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0.84992206
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0.84272045
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0.83702743
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0.83552957
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