Convexity bias in the pricing of Eurodollar swaps

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Publication:1851134

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DOI10.1023/A:1020693608365zbMath1027.91041MaRDI QIDQ1851134

J. Michael Steele, Vladimir Pozdnyakov

Publication date: 15 December 2002

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

interest rates Heath-Jarrow-Morton model arbitrage pricing futures prices HJM model swap equivalent martingale measures LIBOR

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (1)

Convexity bias in Eurodollar futures prices: A dimension-free HJM criterion

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