On the distributional distance between the lognormal LIBOR and swap market models
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Publication:3375384
DOI10.1080/14697680500305162zbMath1134.91399OpenAlexW2016537353MaRDI QIDQ3375384
Publication date: 8 March 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680500305162
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Related Items (6)
On swap rate dynamics: to freeze or not to freeze? ⋮ EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL ⋮ Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options ⋮ A two-factor model for the electricity forward market ⋮ Bounds for the price of discrete arithmetic Asian options ⋮ MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS
Cites Work
- On some filtering problems arising in mathematical finance
- Approximate nonlinear filtering by projection on exponential manifolds of densities
- LIBOR and swap market models and measures
- The Market Model of Interest Rate Dynamics
- Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
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