Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach
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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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- Marc Henrard, 2005. "Libor Market Model and Gaussian HJM explicit approaches to option on composition," Finance 0511016, EconWPA, revised 07 Dec 2005.
- repec:eee:empfin:v:42:y:2017:i:c:p:175-198 is not listed on IDEAS
More about this item
KeywordsLibor Models; Volatility Skew; Interest Rate Derivatives;
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-19 (All new papers)
- NEP-ETS-2005-11-19 (Econometric Time Series)
- NEP-FIN-2005-11-19 (Finance)
- NEP-FMK-2005-11-19 (Financial Markets)
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