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