Models of forward Libor and swap rates

DOI10.1080/135048699334609zbMath1009.91028OpenAlexW2091906674MaRDI QIDQ4541568

Marek Rutkowski

Publication date: 4 September 2002

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

Full work available at URL: https://doi.org/10.1080/135048699334609

zbMATH Keywords

lognormal modelLibor ratesEurodollarEuropean caps

Mathematics Subject Classification ID

Related Items (3)

Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors ⋮ The Lévy Swap Market Model ⋮ ADMISSIBILITY OF GENERIC MARKET MODELS OF FORWARD SWAP RATES

Cites Work

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• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• Implied interest rate pricing models
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Dynamics of Spot, Forward, and Futures Libor Rates
• The Market Model of Interest Rate Dynamics
• Changes of numéraire, changes of probability measure and option pricing

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