Convexity bias in the pricing of Eurodollar swaps (Q1851134)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convexity bias in the pricing of Eurodollar swaps |
scientific article |
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Convexity bias in the pricing of Eurodollar swaps (English)
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15 December 2002
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Heath-Jarrow-Morton model
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HJM model
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interest rates
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LIBOR
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futures prices
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arbitrage pricing
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swap
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equivalent martingale measures
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