LIBOR and swap market models and measures

DOI10.1007/s007800050026zbMath0888.60038OpenAlexW1998548744MaRDI QIDQ1376238

Farshid Jamshidian

Publication date: 11 December 1997

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050026

zbMATH Keywords

stochastic differential equationshomogeneous payoffsLIBOR and swap derivativesself-financing trading strategies

Mathematics Subject Classification ID

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