Identifying term structure volatility from the LIBOR-swap curve

Review of Financial Studies

Volumn 21, Issue 2, 2008, Pages 819-854

  Thompson, Samuel ^a,b  

^a Arrowstreet Capital ^*

^b Arrowstreet Capital LP   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 41549124503     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhm082     Document Type: Article

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