Admissibility of generic market models of forward swap rates
Libo Li and Marek Rutkowski
| Year of publication: |
2014
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|---|---|
| Authors: | Li, Libo ; Rutkowski, Marek |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 4, p. 728-761
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| Subject: | forward swap rate | market model | Libor | admissibility | Swap | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Währungsderivat | Currency derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011308170