Convexity bias in the pricing of Eurodollar swaps
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Publication:1851134
DOI10.1023/A:1020693608365zbMath1027.91041MaRDI QIDQ1851134
J. Michael Steele, Vladimir Pozdnyakov
Publication date: 15 December 2002
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
interest ratesHeath-Jarrow-Morton modelarbitrage pricingfutures pricesHJM modelswapequivalent martingale measuresLIBOR
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