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

IF 0.4 Q4 STATISTICS & PROBABILITY
Theory of Probability and Mathematical Statistics Pub Date : 2020-02-27 DOI:10.1090/tpms/1089
N. Malykh, I. S. Postevoy
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基于伦敦银行同业拆借利率的远期拖欠合同的Vasicek模型中远期利率凸性调整的计算
本文章由计算机程序翻译，如有差异，请以英文原文为准。
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来源期刊
Theory of Probability and Mathematical Statistics
Theory of Probability and Mathematical Statistics STATISTICS & PROBABILITY-
CiteScore
1.30
自引率
0.00%
发文量
22
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