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
id sg-nus-scholar.10635-98996
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spelling sg-nus-scholar.10635-989962023-10-25T22:46:43Z A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates Baaquie, B.E. PHYSICS Caps Field theory LIBOR Numeraire Swaps 10.1142/S0219024905003347 International Journal of Theoretical and Applied Finance 8 8 999-1018 2014-10-16T09:53:57Z 2014-10-16T09:53:57Z 2005-12 Review Baaquie, B.E. (2005-12). A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates. International Journal of Theoretical and Applied Finance 8 (8) : 999-1018. ScholarBank@NUS Repository. https://doi.org/10.1142/S0219024905003347 02190249 http://scholarbank.nus.edu.sg/handle/10635/98996 000217061600001 Scopus
institution National University of Singapore
building NUS Library
continent Asia
country Singapore
Singapore
content_provider NUS Library
collection ScholarBank@NUS
topic Caps
Field theory
LIBOR
Numeraire
Swaps
spellingShingle Caps
Field theory
LIBOR
Numeraire
Swaps
Baaquie, B.E.
A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates
description 10.1142/S0219024905003347
author2 PHYSICS
author_facet PHYSICS
Baaquie, B.E.
format Review
author Baaquie, B.E.
author_sort Baaquie, B.E.
title A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates
title_short A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates
title_full A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates
title_fullStr A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates
title_full_unstemmed A common market measure for LIBOR and pricing caps, floors and swaps in a field theory of forward interest rates
title_sort common market measure for libor and pricing caps, floors and swaps in a field theory of forward interest rates
publishDate 2014
url http://scholarbank.nus.edu.sg/handle/10635/98996
_version_ 1781786985925443584

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