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2017 | OriginalPaper | Chapter

12. The Libor Market Model

Authors : Jörg Kienitz, Peter Caspers

Published in: Interest Rate Derivatives Explained: Volume 2

Publisher: Palgrave Macmillan UK

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Abstract

In the preceding chapters we considered different term structure models, for instance, the Gaussian short rate models or models for the instantaneous forward rate.

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Metadata
Title
The Libor Market Model
Authors
Jörg Kienitz
Peter Caspers
Copyright Year
2017
DOI
https://doi.org/10.1057/978-1-137-36019-9_12