CORRELATION ANALYSIS IN THE LIBOR AND SWAP MARKET MODEL

DOI10.1142/S0219024902001481zbMath1107.91350OpenAlexW2057891011MaRDI QIDQ3022052

Etienne de Malherbe

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001481

zbMATH Keywords

stochastic string

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; economic indices and measures (91B82)

Cites Work

• Scenario simulation: Theory and methodology
• LIBOR and swap market models and measures
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• The Market Model of Interest Rate Dynamics
• Pricing Interest-Rate-Derivative Securities

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