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 No-arbitrage model Ho-Lee & Hull-White model Forward rate model
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at time t+T
under the risk-neutral measure?
A forward rate agreement (FRA) is an agreement made at time t to exchange fixed-rate interest payments at rate k for variable rate payments, on a principal amount A, for the loan period t+T to t+T+1