A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates

A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates

10.1142/S0219024905003347

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Bibliographic Details
Main Author: Baaquie, B.E.
Other Authors: PHYSICS
Format: Review
Published: 2014
Subjects:
Caps
Field theory
LIBOR
Numeraire
Swaps
Online Access:http://scholarbank.nus.edu.sg/handle/10635/98996
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Institution: National University of Singapore
Description
Summary:10.1142/S0219024905003347

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