TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES

DOI10.1111/J.1467-9965.2010.00396.XMaRDI QIDQ3553255zbMATH OpenOpenAlexFDO

Authors Farshid Jamshidian

Publication date 22 April 2010

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2010.00396.x

zbMATH Keywords

Libor market modelcalculus of variation problemconstrained functional optimizationtrivariate support

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Distribution theory (60E99) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES
• Continuous-time term structure models: Forward measure approach
• Negative Libor rates in the swap market model
• The Market Model of Interest Rate Dynamics

Cited in

(4)

• Negative Libor rates in the swap market model
• BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES
• Eurodollar futures pricing in log-normal interest rate models in discrete time
• Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

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