MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING

By Fabio Mercurio. 2010

54 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a3eae75f1998db792e7385af6933167a2db44cb2

How researchers see this paper

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In Economics and Econometrics

1. Fabio Mercurio
2. Daniel Sevcovic

In Finance

1. Fabio Mercurio
2. Daniel Sevcovic

Citations in the corpus

• LIBOR Market Models with Stochastic Basis (2010, methodology): “See Mercurio (2009, 2010) or Appendix D. 17 where, see (4), Sa,b,c,d(t) = ∑b k=a+1 τ x kPD(t, T x k )L x k(t)∑d j=c+1 τ S j PD(t, T S j ) .”