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Negative Libor rates in the swap market model

Author

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  • Mark Davis

    ()

  • Vicente Mataix-Pastor

Abstract

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Suggested Citation

  • Mark Davis & Vicente Mataix-Pastor, 2007. "Negative Libor rates in the swap market model," Finance and Stochastics, Springer, vol. 11(2), pages 181-193, April.
  • Handle: RePEc:spr:finsto:v:11:y:2007:i:2:p:181-193
    DOI: 10.1007/s00780-006-0032-2
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    File URL: http://hdl.handle.net/10.1007/s00780-006-0032-2
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    References listed on IDEAS

    as
    1. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
    2. Raoul Pietersz & Marcel Regenmortel, 2006. "Generic market models," Finance and Stochastics, Springer, vol. 10(4), pages 507-528, December.
    3. 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, July.
    4. 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.
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    Citations

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    Cited by:

    1. Christian Bayer & Peter K. Friz & Paul Gassiat & Joerg Martin & Benjamin Stemper, 2017. "A regularity structure for rough volatility," Papers 1710.07481, arXiv.org.
    2. Farshid Jamshidian, 2008. "Bivariate Support Of Forward Libor And Swap Rates," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 427-443.

    More about this item

    Keywords

    Forward swap rates; Forward Libor rates; Support theorem; G12; G13; 60H10; 91B70;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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