Negative Libor rates in the swap market model
Year of publication: |
2007
|
---|---|
Authors: | Davis, Mark H. A. ; Mataix-Pastor, Vicente |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 11.2007, 2, p. 181-193
|
Subject: | Swap | Zinsstruktur | Yield curve | Theorie | Theory |
-
Valuation of default-risky interest-rate swaps
Abken, Peter A., (1991)
-
Design and estimation of multi-currency quadratic models
Leippold, Markus, (2007)
-
Derivatives pricing and term structure modeling
Hinnerich, Mia, (2007)
- More ...
-
Arbitrage-free interpolation of the swap curve
Davis, Mark H. A., (2009)
-
ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE
DAVIS, MARK H. A., (2009)
-
Arbitrage-Free Interpolation of the Swap Curve
Davis, Mark, (2009)
- More ...