Dynamics of Spot, Forward, and Futures Libor Rates

Marek Rutkowski
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Marek Rutkowski: Institute of Mathematics, Politechnika Warszawska, pl.Politechniki 1, 00-661 Warszawa, Poland

International Journal of Theoretical and Applied Finance (IJTAF), 1998, vol. 01, issue 03, 425-445

Abstract: Distributional properties of spot, forward, and futures Libor rates under martingale measures are studied in various arbitrage-free setups.

Keywords: Zero-coupon bond; forward Libor rate; Eurodollar futures (search for similar items in EconPapers)
Date: 1998
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DOI: 10.1142/S0219024998000230

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