Bivariate support of forward Libor and swap rates

Share/Save/Bookmark

Jamshidian, Farshid (2006) Bivariate support of forward Libor and swap rates.

open access
[img]
Preview
PDF
273kB
Abstract:Based on a certain notion of “prolific process”, we find an explicit expression
for the bivariate (topological) support of the solution to a particular class of 2×2 stochastic differential equations that includes those of the 3-period “lognormal” Libor and swap market models.
Item Type:Article
Research Group:
Link to this item:http://purl.utwente.nl/publications/59849
Export this item as:BibTeX
EndNote
HTML Citation
Reference Manager

 

Repository Staff Only: item control page