Real-World Scenarios With Negative Interest Rates based on the LIBOR Market Model

  1. Lopes, S.D.
  2. Vázquez, C.
Journal:
Applied Mathematical Finance

ISSN: 1466-4313,  1350-486X

Year of publication: 2018

Volume: 25

Issue: 5-6

Pages: 466-482

Type: Article

DOI: 10.1080/1350486X.2018.1492348 GOOGLE SCHOLAR
Data source: Scopus