Libor market models versus swap market models for pricing interest rate derivatives: An empirical analysis
de Jong,F.C.J.M. Driessen,J.J.A.G. Pelsser,A.
de Jong,F.C.J.M.
Driessen,J.J.A.G.
Pelsser,A.
Abstract
Description
DP 0035 Pagination: 76
Date
2001
Journal Title
Journal ISSN
Volume Title
Publisher
Research Projects
Organizational Units
Journal Issue
Keywords
Citation
de Jong, F C J M, Driessen, J J A G & Pelsser, A 2001, 'Libor market models versus swap market models for pricing interest rate derivatives : An empirical analysis', European Finance Review, vol. 5, no. 3, pp. 201-237.