Negative Libor rates in the swap market model
No abstract is available for this item.
Volume (Year): 11 (2007)
Issue (Month): 2 (April)
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References listed on IDEAS
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- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
- Raoul Pietersz & Marcel Regenmortel, 2006.
"Generic market models,"
Finance and Stochastics,
Springer, vol. 10(4), pages 507-528, December.
- Pietersz, R. & van Regenmortel, M., 2005. "Generic Market Models," ERIM Report Series Research in Management ERS-2005-010-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, EconWPA.
- Stefano Galluccio & Christopher Hunter, 2004. "The Co-initial Swap Market Model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 33(2), pages 209-232, 07.
- Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. " Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-430, March.
- Miltersen, K. & K. Sandmann & D. Sondermann, 1994. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Discussion Paper Serie B 308, University of Bonn, Germany.
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