Modelling of forward Libor and swap rates (Q2771111)

This paper treats the modelling of forward Libor and swap rates. First, it gives a very short description of the Heath, Jarrow and Morton methology (section 1). It follows the modelling of forward Libor rates, so, the forward and future Libor rates, the lognormal models of forward Libor rates, the dynamics of Libor rates and bond prices, and caps and floors (section 2). Section 3 regards the modelling of forward swap rates. It describes interest rate swaps, the lognormal model of forward swap rates, the valuation of swaptions and the choice of a numeraire portfolio. This paper ends with Markov-functional models, so, a terminal swap rate model, and a calibration Markov-functional models (section 4).NEWLINENEWLINEFor the entire collection see [Zbl 0967.91001].