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Negative Libor rates in the swap market model

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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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    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.
      • 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, University Library of Munich, Germany.
    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 & Jorg Martin & Benjamin Stemper, 2020. "A regularity structure for rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 782-832, July.
    2. Christian Bayer & Peter K. Friz & Paul Gassiat & Joerg Martin & Benjamin Stemper, 2017. "A regularity structure for rough volatility," Papers 1710.07481, arXiv.org.
    3. Mark H. A. Davis & Vicente Mataix-Pastor, 2009. "Arbitrage-Free Interpolation Of The Swap Curve," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 969-1005.
    4. Farshid Jamshidian, 2008. "Bivariate Support Of Forward Libor And Swap Rates," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 427-443, July.
    5. Jan Obłój & Thaleia Zariphopoulou, 2021. "In memoriam: Mark H. A. Davis and his contributions to mathematical finance," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1099-1110, October.

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    More about this item

    Keywords

    Forward swap rates; Forward Libor rates; Support theorem; G12; G13; 60H10; 91B70;
    All these keywords.

    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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