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Market LIBOR Models

  • Marek Musiela
  • Marek Rutkowski
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 36)

As was mentioned already, the acronym LIBOR stands for the London Interbank Offered Rate. It is the rate of interest offered by banks on deposits from other banks in eurocurrency markets. Also, it is the floating rate commonly used in interest rate swap agreements in international financial markets (in domestic financial markets as the reference interest rate for a floating rate loans it is customary to take a prime rate or a base rate). LIBOR is determined by trading between banks and changes continuously as economic conditions change. For more information on market conventions related to the LIBOR and Eurodollar futures, we refer to Sect. 9.3.4.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Marek Musiela
    • 1
  • Marek Rutkowski
    • 2
  1. 1.BNP ParibasLondonUK
  2. 2.Inst. MathematicsTechnical University WarszawaWarszawaPoland

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