Pietersz, R.; Regenmortel, M. van - Erasmus Research Institute of Management (ERIM), ERIM … - 2005
market models featuring forward rates that span periods other than the classical LIBOR and swap periods. We develop generic … swap market models. In this paper, we introduce arbitrage-free constant maturity swap (CMS) market models and generic … also available on the ERIM website:
www.erim.eur.nl
GENERIC MARKET MODELS
Raoul Pietersz and Marcel van Regenmortel …
