Calculation of the convexity adjustment to the forward rate in the Vasicek model for the forward in-arrears contracts on LIBOR rate

Autor:	I. S. Postevoy, N. O. Malykh
Rok vydání:	2020
Předmět:	Statistics and Probability Vasicek model Libor Arrears Forward rate Econometrics Statistics Probability and Uncertainty Forward rate agreement Convexity Mathematics
Zdroj:	Theory of Probability and Mathematical Statistics. 99:189-198
ISSN:	1547-7363 0094-9000
DOI:	10.1090/tpms/1089
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::34b7db88d17817c8de4f544a71151d93 https://doi.org/10.1090/tpms/1089 Zobrazit plný text záznamu