TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES
DOI10.1111/J.1467-9965.2010.00396.XzbMATH Open1223.91040OpenAlexW2056194575MaRDI QIDQ3553255FDOQ3553255
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
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Libor market modelcalculus of variation problemconstrained functional optimizationtrivariate support
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)
Cites Work
Cited In (4)
- Negative Libor rates in the swap market model
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
- Eurodollar futures pricing in log-normal interest rate models in discrete time
- BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES
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