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The Co-initial Swap Market Model

โœ Scribed by Stefano Galluccio; Christopher Hunter


Book ID
110752862
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
257 KB
Volume
33
Category
Article
ISSN
0391-5026

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## Abstract This study extends the BGM (A. Brace, D. Gatarek, & M. Musiela, 1997) interest rate model (the London Interbank Offered Rate [LIBOR] market model) by incorporating the stock price dynamics under the martingale measure. As compared with traditional interest rate models, the extended BGM