TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES

DOI10.1111/J.1467-9965.2010.00396.XzbMath1223.91040OpenAlexW2056194575MaRDI QIDQ3553255

Farshid Jamshidian

Publication date: 22 April 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00396.x

zbMATH Keywords

Libor market modelcalculus of variation problemconstrained functional optimizationtrivariate support

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Distribution theory (60E99)

Related Items (2)

Eurodollar futures pricing in log-normal interest rate models in discrete time ⋮ Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

Cites Work

• Continuous-time term structure models: Forward measure approach
• Negative Libor rates in the swap market model
• BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES
• The Market Model of Interest Rate Dynamics

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