Interest rate derivatives A Libor market model with a stochastic basis The advent of the financial crisis made the previously negligible bases between different overnight interest rates explode. The author adapts the classic Brace-Gatarek-Musiela Libor market model to the multiple curve environment, and shows how to price interest rate derivatives based on single or multiple Libor tenors under ...
| Year of publication: |
2010
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| Authors: | Mercurio, Fabio |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 12, p. 84-90
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