منابع مشابه
Convergence Rates in Forward-Backward Splitting
Forward-backward splitting methods provide a range of approaches to solving large-scale optimization problems and variational inequalities in which structure conducive to decomposition can be utilized. Apart from special cases where the forward step is absent and a version of the proximal point algorithm comes out, efforts at evaluating the convergence potential of such methods have so far reli...
متن کاملCorrelation Structures Corresponding to Forward Rates
In finance, there is a constant effort to model future prices of stocks, bonds, and commodities; the ability to predict future behaviour provides important information about the underlying structure of these securities. While it has become common to model a single stock using the Black-Scholes formulation, the modelling of bond prices requires one to simulate the change of interest rates as a f...
متن کاملModels of Forward LIBOR and Swap Rates
The backward induction approach is systematically used to produce various models of forward market rates. These include the lognormal model of forward LIBOR rates examined in Miltersen et al. (1997) and Brace et al. (1997), as well as the lognormal model of ((xed-maturity) forward swap rates proposed by Jamshidian (1996, 1997). The valuation formulae for European caps and swaptions are given. I...
متن کاملOne-factor Term Structure without Forward Rates
We construct a no-arbitrage model of bond prices where the long bond is used as a numeraire. We develop bond prices and their dynamics without developing any model for the spot rate or forward rates. The model is arbitrage free and all nominal interest rates remain positive in the model. We give examples where our model does not have a spot rate; other examples include both spot and forward rates.
متن کاملSpot, Forward, and Futures Libor Rates
The properties of forward and futures interest-rate contracts associated with a given collection of reset dates are studied within the frameworks of the Gaussian HJM model and the lognormal model of Libor rates. We focus on the dynamics and distributional properties of spot, forward, and futures Libor rates under spot and forward martingale measures.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2019
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-019-00397-0