Modelling of forward Libor and swap rates

zbMATH Open1004.91041MaRDI QIDQ2771111

Marek Rutkowski

Publication date: 6 February 2003

zbMATH Keywords

ratesforward swap ratesforward libor ratesfuture libor ratesHeath-Jarrow-Morton methologyMarkov-functional models

Mathematics Subject Classification ID

Related Items (2)

An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices ⋮ Arbitrage-free discretization of lognormal forward Libor and swap rate models

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