Convexity Adjustments and Forward Libor Model: Case of Constant Maturity Swaps
Year of publication: |
2003-06-01
|
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Authors: | Lu, Yinqiu ; Neftci, Salih |
Institutions: | Institut für Schweizerisches Bankwesen <Zürich> ; National Centre of Competence in Research North South <Bern> |
Subject: | Swap | Konvexität |
Extent: | 381952 bytes 21 p. application/pdf |
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Series: | Working Paper ; No. 115 (2003) |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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