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Dynamics of Spot, Forward, and Futures Libor Rates

Author

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  • Marek Rutkowski

    (Institute of Mathematics, Politechnika Warszawska, pl.Politechniki 1, 00-661 Warszawa, Poland)

Abstract

Distributional properties of spot, forward, and futures Libor rates under martingale measures are studied in various arbitrage-free setups.

Suggested Citation

  • Marek Rutkowski, 1998. "Dynamics of Spot, Forward, and Futures Libor Rates," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 425-445.
    • Handle: RePEc:wsi:ijtafx:v:01:y:1998:i:03:n:s0219024998000230
    DOI: 10.1142/S0219024998000230
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    Citations

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    Cited by:

    1. Marek Rutkowski, 1999. "Models of forward Libor and swap rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(1), pages 29-60.
    2. Marek Rutkowski & Matthew Bickersteth, 2021. "Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization," Papers 2112.14033, arXiv.org.
    3. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
    4. A. Pelsser, 2003. "Mathematical foundation of convexity correction," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 59-65.

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