Libor market models versus swap market models for pricing interest rate derivatives: An empirical analysis

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@article{e2c9d3f618ec4c69b70cf36430c9b5ae,

title = "Libor market models versus swap market models for pricing interest rate derivatives: An empirical analysis",

author = "\{de Jong\}, F.C.J.M. and J.J.A.G. Driessen and A. Pelsser",

note = "DP 0035 Pagination: 76",

year = "2001",

language = "English",

volume = "5",

pages = "201--237",

journal = "European Finance Review",

issn = "1382-6662",

publisher = "Kluwer Academic Publishers",

number = "3",

}