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ArticleLIBOR and swap market models and measures

Farshid Jamshidian1997

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Articlebronze1997

LIBOR and swap market models and measures

Farshid Jamshidian

746 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1973The Pricing of Options and Corporate Liabilities 2005Theory of rational option pricing 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1993Dynamic Asset Pricing Theory.1981Martingales and stochastic integrals in the theory of continuous trading 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER 1997The Market Model of Interest Rate Dynamics 1995Changes of numéraire, changes of probability measure and option pricing

Cited by

1997Pricing American-style securities using simulation 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options 2006Moment explosions in stochastic volatility models 2003Term Structure Dynamics in Theory and Reality 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk 2000Volatility skews and extensions of the Libor market model

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Year1997

Typearticle

Published1997-09-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations746

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050026

openalex_workW1998548744

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2008Modelling and management of mortality risk: a review

2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments