Open AccessLibor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
Author(s) -
Frank de Jong,
Joost Driessen,
Antoon Pelsser
Publication year - 2001
Publication title -
review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.933
H-Index - 61
eISSN - 1875-824X
pISSN - 1572-3097
DOI - 10.1023/a:1013816921237
Subject(s) - libor market model , libor , interest rate swap , interest rate derivative , econometrics , swap (finance) , economics , derivative (finance) , volatility (finance) , financial economics , interest rate , monetary economics , finance
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