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

Recommendations

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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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