scientific article; zbMATH DE number 7052173

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zbMath1411.91590MaRDI QIDQ5742861

Ting-Pin Wu, Chih-Chen Hsu

Publication date: 8 May 2019

Full work available at URL: http://ijims.ms.tku.edu.tw/IJIMS/download.php?filename=102_41120fcc.pdf&dir=recruit&title=Abstract

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

HJM model closed-form path-dependent LIBOR rate Asian-style interest rate swaps

Mathematics Subject Classification ID

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

Related Items (1)

Pricing and risk management of interest rate swaps

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