Models of forward Libor and swap rates
Author:
Marek Rutkowski
DOI:
10.1080/135048699334609
Publication Frequency:
6 issues per year
Number of References: 18
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Abstract
The backward induction approach is systematically used to produce various models of forward market rates. These include the lognormal model of forward Libor rates examined by Miltersen et al. and Brace et al., as well as the lognormal model of (fixed-maturity) forward swap rates, which was proposed by Jamshidian. The valuation formulae for European caps and swaptions are given. In the last section, the Eurodollar futures contracts and options are examined within the framework of the lognormal model of forward Libor rates.
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| Keywords: Zero-coupon Bond; Libor Rate; Swap Rate; Swaption; Eurodollar Futures |
| view references (18) : view citations |

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