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2000•SSRN Electronic JournalOpen access

Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis

Frank de Jong, Joost Driessen, Antoon Pelsser

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Key concepts: Libor, LIBOR market model, Swap (finance), Econometrics, Interest rate swap, Economics, Interest rate derivative, Derivative (finance)

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