LIBOR Market Models with Stochastic Basis-Reference-Cited by-同舟云学术

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LIBOR Market Models with Stochastic Basis

Published:2010 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Mercurio Fabio

Publisher

Elsevier BV

Reference32 articles.

1. Bootstrapping the Illiquidity;F Ametrano;Modelling Interest Rates: Advances for Derivatives Pricing,2009

2. Volatile volatilities;L Andersen;Risk,2002

3. Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

4. The market model of interest rate dynamics;A Brace;Mathematical Finance,1997

Cited by 35 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Bibliography;Perturbation Methods in Credit Derivatives;2020-12-15

2. Minimal variance hedging in multicurve interest rate modeling;Lithuanian Mathematical Journal;2019-07

3. A Multicurve Cross-Currency LIBOR Market Model;Journal of Applied Mathematics;2019-03-10

4. Breakdown of Covered Interest Parity: Mystery or Myth?;SSRN Electronic Journal;2018

5. Consistent Valuation Across Curves Using Pricing Kernels;SSRN Electronic Journal;2018

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