Modelling of forward Libor and swap rates

zbMATH Open1004.91041MaRDI QIDQ2771111FDOQ2771111

Authors: Marek Rutkowski 

Publication date: 6 February 2003

Recommendations

• Models of forward Libor and swap rates
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• Arbitrage-free discretization of lognormal forward Libor and swap rate models

zbMATH Keywords

ratesforward swap ratesforward libor ratesfuture libor ratesHeath-Jarrow-Morton methologyMarkov-functional models

Mathematics Subject Classification ID

Cited In (5)

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

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