Negative Libor rates in the swap market model
Year of publication: |
2007
|
---|---|
Authors: | Davis, Mark ; Mataix-Pastor, Vicente |
Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 2, p. 181-193
|
Publisher: |
Springer |
Subject: | Forward swap rates | Forward Libor rates | Support theorem |
-
Extended Libor Market Models with Affine and Quadratic Volatility
Zühlsdorff, Christian, (2002)
-
Extended Libor market models with affine and quadratic volatility
Zühlsdorff, Christian, (2002)
-
Extended Libor Market Models with Affine and Quadratic Volatility
Zühlsdorff, Christian, (2002)
- More ...
-
Negative Libor rates in the swap market model
Davis, Mark H. A., (2007)
-
Arbitrage-free interpolation of the swap curve
Davis, Mark H. A., (2009)
-
Arbitrage-Free Interpolation of the Swap Curve
Davis, Mark, (2009)
- More ...