Farshid Jamshidian
Abstract
Based on a certain notion of “prolific process”, we find an explicit expression for the bivariate (topological) support of the solution to a particular class of 2×2 stochastic differential equations that includes those of the 3-period “lognormal” Libor and swap market models.
OpenAlex reports 2 citations for this work. Citation counts describe recorded attention and do not establish research quality.
A contribution statement is not available in the OpenAlex record.
Method details are not available in the OpenAlex metadata.
Findings are not separately available in the OpenAlex metadata.
Limitations are not available in the OpenAlex metadata.
Application details are not available in the OpenAlex metadata.
Based on a certain notion of “prolific process”, we find an explicit expression for the bivariate (topological) support of the solution to a particular class of 2×2 stochastic differential equations that includes those of the 3-period “lognormal” Libor and swap market models.
Key concepts: Libor, Bivariate analysis, Swap (finance), LIBOR market model, Interest rate swap, Econometrics, Mathematics, Log-normal distribution