Modelling of forward Libor and swap rates

MaRDI QIDQ2771111zbMATH OpenFDO

Authors Marek Rutkowski

Publication date 6 February 2003

zbMATH Keywords

forward libor ratesforward swap ratesfuture libor ratesHeath-Jarrow-Morton methologyMarkov-functional modelsrates

Mathematics Subject Classification ID

Review text

This paper treats the modelling of forward Libor and swap rates. First, it gives a very short description of the Heath, Jarrow and Morton methology (section 1). It follows the modelling of forward Libor rates, so, the forward and future Libor rates, the lognormal models of forward Libor rates, the dynamics of Libor rates and bond prices, and caps and floors (section 2). Section 3 regards the modelling of forward swap rates. It describes interest rate swaps, the lognormal model of forward swap rates, the valuation of swaptions and the choice of a numeraire portfolio. This paper ends with Markov-functional models, so, a terminal swap rate model, and a calibration Markov-functional models (section 4).NEWLINENEWLINEFor the entire collection see [Zbl 0967.91001].

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Cited in

(6)

• LIBOR and swap market models and measures
• An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• On cash settled IRR-swaptions and Markov functional modeling
• Models of forward Libor and swap rates
• A COMMON MARKET MEASURE FOR LIBOR AND PRICING CAPS, FLOORS AND SWAPS IN A FIELD THEORY OF FORWARD INTEREST RATES

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