Abstract
The aim of this chapter is twofold. First, we introduce the most typical examples of interest rate derivatives such as interest rate swaps, caps, floors and swaptions. Second, we provide the explicit valuation solutions for some of these instruments within the Gaussian HJM framework and in the case of lognormal models of forward LIBOR and swap rates. The last section deals with an alternative model of the term structure, proposed by Flesaker and Hughston (1996a).
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© 1997 Springer-Verlag Berlin Heidelberg
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Musiela, M., Rutkowski, M. (1997). Swap Derivatives. In: Martingale Methods in Financial Modelling. Applications of Mathematics, vol 36. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-22132-7_16
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DOI: https://doi.org/10.1007/978-3-662-22132-7_16
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-662-22134-1
Online ISBN: 978-3-662-22132-7
eBook Packages: Springer Book Archive