Using the LIBOR market model to price the interest rate derivative. 何俊儒. The classification of the interest rate model. Standard market model Black’s model(1976) Short rate model Equilibrium model Vasicek & CIR model Noarbitrage model HoLee & HullWhite model Forward rate model
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何俊儒
at time t+T
under the riskneutral measure?
A forward rate agreement (FRA) is an agreement made at time t to exchange fixedrate interest payments at rate k for variable rate payments, on a principal amount A, for the loan period t+T to t+T+1
