ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE

DOI10.1142/S0219024909005543zbMath1205.91162MaRDI QIDQ3655553

Vicente Mataix-Pastor, Mark H. A. Davis

Publication date: 8 January 2010

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

zbMATH Keywords

interpolationarbitrageCIR modelHJM modelterm structure modelingyield curve dynamicsLibor and swap market models

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Continuous-time term structure models: Forward measure approach
• Negative Libor rates in the swap market model
• Interest Rate Dynamics and Consistent Forward Rate Curves
• On the geometry of the term structure of interest rates
• Interpolation Methods for Curve Construction
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• Arbitrage Theory in Continuous Time
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model

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