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Publication:2771109
zbMath1033.91014MaRDI QIDQ2771109
Tim Dun, Geoff Barton, Alan Brace
Publication date: 31 July 2002
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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On swap rate dynamics: to freeze or not to freeze? ⋮ EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL ⋮ Moment explosion in the LIBOR market model ⋮ Pricing rate of return guarantees in regular premium unit linked insurance ⋮ A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach ⋮ MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS
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