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

DOI10.1007/S11147-022-09191-1MaRDI QIDQ6154207zbMATH OpenOpenAlexFDO

Authors Robert A. Jarrow, Siguang Li

Publication date 19 March 2024

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-022-09191-1

zbMATH Keywords

floating rate loansinterest rate swapsLIBORSOFR

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A mechanism for LIBOR
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Continuous-time asset pricing theory. A martingale-based approach

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