Arbitrage-Free Discretization of Lognormal Forward Libor and Swap Rate Models.
Year of publication: |
1998
|
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Authors: | Glasserman, P. ; Zhao, X. |
Institutions: | Graduate School of Business, Columbia University |
Subject: | SIMULATION | INTEREST RATE | ECONOMIC MODELS | FINANCIAL MARKET |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | 33 pages |
Classification: | G14 - Information and Market Efficiency; Event Studies ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C50 - Econometric Modeling. General |
Source: |
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