Work

A LIBOR Market Model with Stochastic Basis

Year: 2010

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1583081

Author: Fabio Mercurio

Institution: Bloomberg (United States)

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4248300845

Cites: 15

Cited by: 42

Related to: 10