Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis

Frank de Jong, Joost Driessen () and Antoon Pelsser

No 2000-35, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Term Structure Models; Interest Rate Derivatives; Lognormal Pricing Models; Black Formula (search for similar items in EconPapers)
Date: 2000
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Working Paper: Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis (2000)
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