{"entities":{"Q2463709":{"pageid":2474452,"ns":120,"title":"Item:Q2463709","lastrevid":50233712,"modified":"2026-01-13T14:41:54Z","type":"item","id":"Q2463709","labels":{"en":{"language":"en","value":"Negative Libor rates in the swap market model"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5220214"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$EBCD06D4-DB94-4FD3-B44A-3E9FAB8F0969","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"5392f0c27de5f4779d8d81cb0a958451a3bda886","datavalue":{"value":{"text":"Negative Libor rates in the swap market model","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2463709$E231106E-C1B6-4D1A-BE00-65562835B48E","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"445d656cedc2f7989f4785836feb9a2e9df6d46f","datavalue":{"value":"1142.91051","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2463709$9DAAC51B-894A-4D98-9D8D-46DC895F2F0E","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"32f7fde2057e6934ea4adbe7e92b814c59440351","datavalue":{"value":{"entity-type":"item","numeric-id":470652,"id":"Q470652"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$C2B8D6F7-512E-475F-BFBE-B70EEF314EF4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"78f2d17ff4ffa7dfd29df68d550178a605e9782c","datavalue":{"value":{"entity-type":"item","numeric-id":2463708,"id":"Q2463708"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$47E55C8C-9C3B-4349-A63D-9728785E3DAD","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"fc3cbe8cf287fdb2a81bc60a8afce4592cfe9e54","datavalue":{"value":{"entity-type":"item","numeric-id":135345,"id":"Q135345"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$0BB53BD9-6B53-4376-83CF-7BDA093D2D74","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"4ef757f8a85578cf2a1da408b2acd776e281f7f8","datavalue":{"value":{"time":"+2007-12-16T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2463709$29FC2AF6-2E24-43A7-80ED-8819A48998F3","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"34393a02c5b6d1a1d47cb6d5fb70fc7dc72feb6d","datavalue":{"value":"The purpose of this paper is to consider swap market model and to show that under the assumption of positive volatility functions for the swap rates, the implied Libor rates can become negative in finite time. The case in which the swap rates are modelled via a non-degenerate diffusion is simple, but the degenerate case is more difficult and the authors use in this case the Stroock and Varadhan's support theorem for diffusion processes. Some Monte Carlo simulations showing examples of the effect of negative values, are presented.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2463709$FCFC5102-5E93-4897-8EEE-B8DE6957F98B","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"4ab83e4aad0d91ff4fa3028b5f306edce46af30b","datavalue":{"value":"91B70","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2463709$D006614D-E69D-4382-B488-5F415A087B12","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"b1355fbb4f7dce5b1a2a667a659d4b16ecef07e4","datavalue":{"value":"60H10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2463709$88E6491E-7B5D-4A00-AFF8-E66BFE876D17","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"67e4b53dca3e27d4fe6dcf80fb252513e5ca4c17","datavalue":{"value":"5220214","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2463709$14DD2067-6B57-442C-94EC-2DD19BE1862D","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"4723c95829976694e5f3ed38700e7517e875ff2b","datavalue":{"value":"forward swap rates","type":"string"},"datatype":"string"},"type":"statement","id":"Q2463709$7E93F1B5-C711-414A-A9F8-BCA7E979D274","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"e446ebb735a3e8315c6ca18967c8d33c323e3f5f","datavalue":{"value":"forward Libor rates","type":"string"},"datatype":"string"},"type":"statement","id":"Q2463709$F1BC0123-4551-4D3F-9144-D4EE271A2A05","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"48be527955beceb2045bc63ebbf1f80faf53797b","datavalue":{"value":"support theorem","type":"string"},"datatype":"string"},"type":"statement","id":"Q2463709$8726BCCE-D000-4A5D-BA7E-BAB12194A364","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"fe109cf65b5e526b78e778f4289ef05f064c0043","datavalue":{"value":{"entity-type":"item","numeric-id":590139,"id":"Q590139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$74729B17-2A06-4C65-A13F-D1107E45A910","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$79EB7AA6-3C87-4EA3-8E05-F7A528FB8052","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"dc01422a861d8d56a509a6609256fd62856e752f","datavalue":{"value":"https://doi.org/10.1007/s00780-006-0032-2","type":"string"},"datatype":"url"},"type":"statement","id":"Q2463709$73DDB000-0E2B-4687-9063-F8198F65D7E3","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"74ed37bbcae8458cfb7613b8bbf9d80d793e01d2","datavalue":{"value":"W2089410075","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2463709$F62F6E3B-5491-4D9F-A191-2B1C10D2DB0F","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"29958d2e18da361ee8239ee742dcacbf1bfca233","datavalue":{"value":{"entity-type":"item","numeric-id":4372046,"id":"Q4372046"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$CC4BD36C-BCA2-4121-8570-5E18344F8BA1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"30111f325b7a98a3126a432d9458148ba4ed00c1","datavalue":{"value":{"entity-type":"item","numeric-id":3446061,"id":"Q3446061"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$567CC9FC-562F-4F1A-9E13-5CE96505BCE4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9566984968bb3653fbb14e3c7e6539be31571551","datavalue":{"value":{"entity-type":"item","numeric-id":3959169,"id":"Q3959169"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$823FE694-45E6-44BA-B40C-92A491A742A8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3540dd35b4d4730ffb752538fe4abe7c2542a981","datavalue":{"value":{"entity-type":"item","numeric-id":1376238,"id":"Q1376238"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$831792B1-C8AA-4257-AB8B-63E2D00F2601","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"fe830794419e5c2e75bbddf5febf3bdfa3ee5ff1","datavalue":{"value":{"entity-type":"item","numeric-id":3521284,"id":"Q3521284"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$B869D30D-A644-4A67-90A3-6552EB06984F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"aeab8c7cf0b7a61a166ade899d46c605902860e4","datavalue":{"value":{"entity-type":"item","numeric-id":1376237,"id":"Q1376237"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$454AB391-6C69-4451-86FC-6EEB091DBD5F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1a5b58dd00924e07d20b9aaf91ad86fe01729215","datavalue":{"value":{"entity-type":"item","numeric-id":881416,"id":"Q881416"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$A61A1BC2-D240-47BF-ABDE-A9F8DF53EFF7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"64243af2d14815b33bbaf8f3f3c6bded29c82d40","datavalue":{"value":{"entity-type":"item","numeric-id":4508926,"id":"Q4508926"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$EE885994-E4CA-43B0-AEF3-BD913553F2E1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2f728d49897fb3b800c7f93db1b373813e343a19","datavalue":{"value":{"entity-type":"item","numeric-id":5670045,"id":"Q5670045"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2463709$72CEB228-3ADB-496F-8E2C-68E32EFA0900","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"e67c9496ab7a324bcca03c7bf5dbd53d24838d94","datavalue":{"value":"10.1007/S00780-006-0032-2","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2463709$E7B2FBF4-3FAD-45A8-A683-3F3C5BF7EFB1","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"10a84a1c23dc6018180bdbf3ebfba4971459207a","datavalue":{"value":{"entity-type":"item","numeric-id":3521284,"id":"Q3521284"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"506cb524046ff8cbb0d37b02f4c147920ae0de7d","datavalue":{"value":{"amount":"+0.8504218459129333","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2463709$E26E47C6-315B-4E1A-9544-C429CC77D28F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"658565a25594e9a4701ce1b5a1c608bfb29dafc1","datavalue":{"value":{"entity-type":"item","numeric-id":1376238,"id":"Q1376238"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"3a70d2ba5e5a4251cb800de2d949e0ecc43e36dc","datavalue":{"value":{"amount":"+0.8263550996780396","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2463709$C581B908-E912-41D5-AE27-7A6B76574BEF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c1fd179d40ddbb683f93723e097e23e387c4a3d5","datavalue":{"value":{"entity-type":"item","numeric-id":3553255,"id":"Q3553255"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"3a70d2ba5e5a4251cb800de2d949e0ecc43e36dc","datavalue":{"value":{"amount":"+0.8263550996780396","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2463709$AE0A5593-11F2-422E-9F0C-F4605AB04666","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"cf1d6cebba455e4d4d33c0f56a2075251635e28b","datavalue":{"value":{"entity-type":"item","numeric-id":2771109,"id":"Q2771109"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"1b5c008664687455a8490f5e8dad77ce3fe74a60","datavalue":{"value":{"amount":"+0.816713809967041","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2463709$9E26EA85-AA2F-418A-A1B3-11282B2E83A7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"844e086f37ee266b11ae85a6be6c1b1ac81d4531","datavalue":{"value":{"entity-type":"item","numeric-id":5297934,"id":"Q5297934"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e4d0066ad2f6598f36615344e86b104f436a1c17","datavalue":{"value":{"amount":"+0.7970744371414185","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2463709$EFBBD204-FD6D-4A81-8A06-C2B8C65CA06B","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:2463709","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:2463709"}}}}}