Witzany, Jiří (contributor) - 2008
tradable underlying assets. Derivatives involving Libor or swap rates in arrears, i.e. rates paid in a wrong time, are a … rigorously that indeed this is not possible in the case of Libor or swap rates in arrears. We will introduce formally the notion …. -- interest rate derivatives ; Libor in arrears ; constant maturity swap ; valuation models ; convexity adjustment …