Open AccessThe Relationship Between, Spot, Forward LIBOR and Swap Rate Curve under the Pure Jump Levy Process
Author(s) -
Joon-Hee Rhee,
장범식
Publication year - 2007
Publication title -
korean journal of financial engineering
Language(s) - English
Resource type - Journals
eISSN - 2713-7252
pISSN - 1738-124X
DOI - 10.35527/kfedoi.2007.6.2.001
Subject(s) - libor , swap (finance) , interest rate swap , forward rate , libor market model , lévy process , jump , spot contract , econometrics , process (computing) , economics , mathematics , financial economics , computer science , statistics , interest rate , futures contract , monetary economics , physics , volatility (finance) , finance , operating system , quantum mechanics
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