Browsing Dept. of Computer Science by Author "Goschen, Wayne S"

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  • Incompatibility of lognormal forward-Libor and Swap market models 

    Goschen, Wayne S (University of Cape TownFaculty of ScienceDepartment of Computer Science, 2005)
    The lognormal forward-Libor and Swap market models were formulated to price caps and swaptions. However, the prices computed by these two models, under equivalent measures, are reported to be unequal. This study investigates ...