✦ LIBER ✦

Arbitrage-free discretization of lognormal forward Libor and swap rate models

✍ Scribed by Paul Glasserman; Xiaoliang Zhao

Book ID: 106235816
Publisher: Springer-Verlag
Year: 2000
Tongue: English
Weight: 220 KB
Volume: 4
Category: Article
ISSN: 0949-2984
DOI: 10.1007/s007800050002

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This article is based on the first chapter of the author's doctoral dissertation at the University of California at Berkeley. Thanks are due to the dissertation committee members: Gerard Gennotte, Hayne Leland, Pravin Varaiya, and especially, David Modest. Funding from the Norwegian Council for Rese

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