Libor market models versus swap market models for pricing interest rate derivatives : an empirical analysis
Frank de Jong; Joost Driessen and Antoon Pelsser
| Year of publication: |
2001
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|---|---|
| Authors: | Jong, Frank de ; Driessen, Joost ; Pelsser, Antoon André Jean |
| Published in: |
European finance review : the official journal of the European Finance Association. - Dordrecht [u.a.] : Kluwer Acad. Publ., ISSN 1382-6662, ZDB-ID 1338491-0. - Vol. 5.2001, 3, p. 201-237
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| Subject: | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Derivat | Derivative | CAPM | Theorie | Theory |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: European finance review |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001654818