LIBOR and swap market models and measures

• 1 September 1997
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 1  (4) , 293-330
• https://doi.org/10.1007/s007800050026

Abstract

Keywords

• MODELS
• VOLATILITY
• MARKET
• DIFFERENTIAL
• STRUCTURES
• BONDS
• LIBOR
• PAYOFF
• SWAP DERIVATIVES