Models of forward Libor and swap rates
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References listed on IDEAS
- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
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World Scientific Publishing Co. Pte. Ltd..
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- Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016.
"Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors,"
Insurance: Mathematics and Economics,
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- Flavia Barsotti & Xavier Milhaud & Yahia Salhi, 2016. "Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors," Working Papers hal-01282601, HAL.
- Sami Attaoui, 2011. "Hedging performance of the Libor market model: the cap market case," Applied Financial Economics, Taylor & Francis Journals, vol. 21(16), pages 1215-1223.
More about this item
KeywordsZero-coupon Bond; Libor Rate; Swap Rate; Swaption; Eurodollar Futures;
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