Statistical Properties of Forward Libor 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.
- 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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- Roger Lord & Antoon Pelsser, 2007. "Level-Slope-Curvature - Fact or Artefact?," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(2), pages 105-130.
- Laurini, Márcio Poletti & Ohashi, Alberto, 2015.
"A noisy principal component analysis for forward rate curves,"
European Journal of Operational Research,
Elsevier, vol. 246(1), pages 140-153.
- Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.
- Carol Alexandra, 2002. "Common Correlation and Calibrating the Lognormal Forward Rate Model," ICMA Centre Discussion Papers in Finance icma-dp2002-18, Henley Business School, Reading University, revised Jan 2003.
More about this item
KeywordsYield curve fitting; common principal component analysis; volatility; correlation; covariance; lognormal formal rate model;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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