Real-world scenarios with negative interest rates based on the LIBOR market model
Year of publication: |
2018
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Authors: | Lopes, Sara Dutra ; Vázquez, Carlos |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 5/6, p. 466-482
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Subject: | interest rate | market price of risk | Real world model | scenario simulation | shifted lognormal forward rates | Zinsstruktur | Yield curve | Entwicklungstheorie | Development theory | Zinsderivat | Interest rate derivative | Simulation | Zins | Interest rate |
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