LIBOR and swap market models and measures (*)
Year of publication: |
1997-09-30
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Authors: | Jamshidian, Farshid |
Published in: |
Finance and Stochastics. - Springer. - Vol. 1.1997, 4, p. 293-330
|
Publisher: |
Springer |
Subject: | LIBOR and swap derivatives | self-financing trading strategies | homogenous payoffs | stochastic differential equations |
Extent: | application/pdf application/postscript |
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Type of publication: | Article |
Notes: | received: January 1996; final version received: May 1997 |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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