A Mechanism for LIBOR*

DOI10.1093/rof/rfx045zbMath1425.91413OpenAlexW3124590401MaRDI QIDQ5237858

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Publication date: 25 October 2019

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfx045

zbMATH Keywords

benchmarkLIBOR

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Interest rate swaps: a comparison of compounded daily versus discrete reference rates

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