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Economics / Interest rate cap and floor / LIBOR market model / Heath–Jarrow–Morton framework / Log-normal distribution / Normal distribution / Hull–White model / Volatility smile / Interest rate derivative / Mathematical finance / Financial economics / Finance


Mind the cap Peter J¨ackel∗ First version: Last update: 2003
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Document Date: 2011-07-26 17:45:15

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File Size: 305,36 KB

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Company

Interbank / ABN AMRO / /

Country

Japan / United States / /

IndustryTerm

closed form solution / /

Person

Mike Curran / Libor / /

Position

trader / forward / i.e / market model / model / forward / /

Technology

simulation / /

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