A note on pricing interest rate derivatives when forward LIBOR rates are lognormal (Q1376240)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on pricing interest rate derivatives when forward LIBOR rates are lognormal |
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A note on pricing interest rate derivatives when forward LIBOR rates are lognormal (English)
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11 December 1997
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lognormal model of LIBOR rates
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contracts on zero-coupon bonds
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Girsanov transformation
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closed form princing formulae
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zero coupon bonds
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