Eurodollar futures pricing in log-normal interest rate models in discrete time

DOI10.1080/1350486X.2017.1297727zbMath1396.91783MaRDI QIDQ4585685

Dan Pirjol

Publication date: 6 September 2018

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

zbMATH Keywords

interest rate modelsLibor market modelEurodollar futures

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Growth rate of a stochastic growth process driven by an exponential Ornstein–Uhlenbeck process

Cites Work

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• A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
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• Markov-functional interest rate models

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