Negative Libor rates in the swap market model

DOI10.1007/S00780-006-0032-2zbMath1142.91051OpenAlexW2089410075MaRDI QIDQ2463709

Vicente Mataix-Pastor, Mark H. A. Davis

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1007/s00780-006-0032-2

zbMATH Keywords

support theoremforward Libor ratesforward swap rates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70)

Related Items (3)

ADMISSIBILITY OF GENERIC MARKET MODELS OF FORWARD SWAP RATES ⋮ TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES ⋮ ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE

Cites Work

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• Generic market models
• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• THEORY AND CALIBRATION OF SWAP MARKET MODELS
• BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES
• The Market Model of Interest Rate Dynamics

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