A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates

International Journal of Theoretical and Applied Finance

Volumn 8, Issue 8, 2005, Pages 999-1018

  Baaquie, Belal E ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Caps; Field theory; LIBOR; Numeraire; Swaps

Indexed keywords

EID: 28844479408     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024905003347     Document Type: Review

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