The method of the Wigner-Ville function proposed by Wigner, (1932) and Ville (1947) is widely used in quantum statistical mechanics and signal processing and historically preceded the continuous-time wavelets. (Gabor, 1946) Here it is proposed for the studies of the financial time series. One of...

Abstract In this note we describe the one factor HJM(LLM) model for pricing Mid-Curve Money Market Future Options. The model is based on assuming a lognormal process for the relevant forward money market (“LIBOR”) rates and imbedding it into the general no-arbitrage HJM interest rate...

The U.S. Department of Justice's pursuit of the participants in the LIBOR conspiracy almost exclusively through fraud claims stands in dramatic contrast with the European Commission's use of antitrust law to impose fines on the same parties for the same conduct. This short note describes the...

The investigations into LIBOR have highlighted that it is subject to manipulation. We examinea new method for constructing LIBOR that produces an unbiased estimator of the true rate.LIBOR itself is based solely on transactions. We allow for fines when a bank's transaction isdifferent than a...