Modern LIBOR market models: using different curves for projecting rates and for discounting (Q3560083)
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scientific article; zbMATH DE number 5709677
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| English | Modern LIBOR market models: using different curves for projecting rates and for discounting |
scientific article; zbMATH DE number 5709677 |
Statements
MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING (English)
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19 May 2010
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credit crisis
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interest rates
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basis
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forward curves
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discount curve
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LIBOR market model
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measure change
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caps
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swaptions
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analytical formulas
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stochastic volatility
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0.792454183101654
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0.7838622331619263
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0.7819755673408508
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0.7788512110710144
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0.7739964127540588
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