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On the distributional distance between the lognormal LIBOR and swap market models - MaRDI portal

On the distributional distance between the lognormal LIBOR and swap market models (Q3375384)

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English
On the distributional distance between the lognormal LIBOR and swap market models
scientific article

    Statements

    title
    On the distributional distance between the lognormal LIBOR and swap market models (English)
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    author
    Damiano Brigo
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    Jan Liinev
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    publication date
    8 March 2006
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    91B26
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    91B82
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    zbMATH DE Number
    5009970
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    OpenAlex ID
    W2016537353
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