Valuation of floating range notes in a LIBOR market model

This study derives an approximate pricing formula of floating range notes (FRNs) within the multifactor LIBOR market model (LMM) framework. The LMM features the ease for calibration procedure, and the resulting pricing formula is more tractable. In addition, since the underlying rate of FRNs is usua...

Full description

Saved in:
Bibliographic Details
Published in:The journal of futures markets 2008-07, Vol.28 (7), p.697-710
Main Authors: Wu, Ting-Pin, Chen, Son-Nan
Format: Article
Language:English
Subjects:
Currency market
Financial models
Futures market
Interest rates
LIBOR
Money market
Pricing
Securities prices
Studies
Valuation methods
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by cdi_FETCH-LOGICAL-c4270-5621cc620ccd892272ff8a22a009e2462d491a0fd90b9522ed5f3af8af0df4a83
cites cdi_FETCH-LOGICAL-c4270-5621cc620ccd892272ff8a22a009e2462d491a0fd90b9522ed5f3af8af0df4a83
container_end_page 710
container_issue 7
container_start_page 697
container_title The journal of futures markets
container_volume 28
creator Wu, Ting-Pin
Chen, Son-Nan
description This study derives an approximate pricing formula of floating range notes (FRNs) within the multifactor LIBOR market model (LMM) framework. The LMM features the ease for calibration procedure, and the resulting pricing formula is more tractable. In addition, since the underlying rate of FRNs is usually the LIBOR rate, the pricing of the FRNs under the LMM is more direct and full of intuition. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:697–710, 2008
doi_str_mv 10.1002/fut.20310
format article
fullrecord <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_37031448</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>1479593001</sourcerecordid><originalsourceid>FETCH-LOGICAL-c4270-5621cc620ccd892272ff8a22a009e2462d491a0fd90b9522ed5f3af8af0df4a83</originalsourceid><addsrcrecordid>eNp1kEtPwzAQhC0EEqVw4B9YHJA4pF1vnIePgOhDqiiq2nK0TGJXKWlc4kTQf49LgQMSp93DN7szQ8glgx4DwL5pmx5CyOCIdBiIOBAi5MekA5hAkISMn5Iz59YAIASHDhFLVbaqKWxFraGmtH6vVrRW1UrTyjba0aKiik7Gd9MZ3aj6VTd0Y3NdnpMTo0qnL75nlywGD_P7UTCZDsf3t5Mg4_ufUYwsy2KELMtTgZigMalCVN6BRh5jzgVTYHIBLyJC1HlkQuURA7nhKg275Ppwd1vbt1a7Rm4Kl-myVJW2rZNh4uNyvgev_oBr29aV9yaRMUwZR-ahmwOU1da5Whu5rQsfaycZyH2D0jcovxr0bP_Avhel3v0PysFi_qMIDorCNfrjV-Fbk3ESJpF8fhxKXI6eYIQoZ-EncaV-3A</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>211281421</pqid></control><display><type>article</type><title>Valuation of floating range notes in a LIBOR market model</title><source>EBSCOhost Business Source Ultimate</source><source>International Bibliography of the Social Sciences (IBSS)</source><source>Wiley</source><creator>Wu, Ting-Pin ; Chen, Son-Nan</creator><creatorcontrib>Wu, Ting-Pin ; Chen, Son-Nan</creatorcontrib><description>This study derives an approximate pricing formula of floating range notes (FRNs) within the multifactor LIBOR market model (LMM) framework. The LMM features the ease for calibration procedure, and the resulting pricing formula is more tractable. In addition, since the underlying rate of FRNs is usually the LIBOR rate, the pricing of the FRNs under the LMM is more direct and full of intuition. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:697–710, 2008</description><identifier>ISSN: 0270-7314</identifier><identifier>EISSN: 1096-9934</identifier><identifier>DOI: 10.1002/fut.20310</identifier><identifier>CODEN: JFMADT</identifier><language>eng</language><publisher>Hoboken: Wiley Subscription Services, Inc., A Wiley Company</publisher><subject>Currency market ; Financial models ; Futures market ; Interest rates ; LIBOR ; Money market ; Pricing ; Securities prices ; Studies ; Valuation methods</subject><ispartof>The journal of futures markets, 2008-07, Vol.28 (7), p.697-710</ispartof><rights>2008 Wiley Periodicals, Inc.</rights><rights>Copyright Wiley Periodicals Inc. Jul 2008</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c4270-5621cc620ccd892272ff8a22a009e2462d491a0fd90b9522ed5f3af8af0df4a83</citedby><cites>FETCH-LOGICAL-c4270-5621cc620ccd892272ff8a22a009e2462d491a0fd90b9522ed5f3af8af0df4a83</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,27923,27924,33222,33223</link.rule.ids></links><search><creatorcontrib>Wu, Ting-Pin</creatorcontrib><creatorcontrib>Chen, Son-Nan</creatorcontrib><title>Valuation of floating range notes in a LIBOR market model</title><title>The journal of futures markets</title><addtitle>J. Fut. Mark</addtitle><description>This study derives an approximate pricing formula of floating range notes (FRNs) within the multifactor LIBOR market model (LMM) framework. The LMM features the ease for calibration procedure, and the resulting pricing formula is more tractable. In addition, since the underlying rate of FRNs is usually the LIBOR rate, the pricing of the FRNs under the LMM is more direct and full of intuition. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:697–710, 2008</description><subject>Currency market</subject><subject>Financial models</subject><subject>Futures market</subject><subject>Interest rates</subject><subject>LIBOR</subject><subject>Money market</subject><subject>Pricing</subject><subject>Securities prices</subject><subject>Studies</subject><subject>Valuation methods</subject><issn>0270-7314</issn><issn>1096-9934</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2008</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNp1kEtPwzAQhC0EEqVw4B9YHJA4pF1vnIePgOhDqiiq2nK0TGJXKWlc4kTQf49LgQMSp93DN7szQ8glgx4DwL5pmx5CyOCIdBiIOBAi5MekA5hAkISMn5Iz59YAIASHDhFLVbaqKWxFraGmtH6vVrRW1UrTyjba0aKiik7Gd9MZ3aj6VTd0Y3NdnpMTo0qnL75nlywGD_P7UTCZDsf3t5Mg4_ufUYwsy2KELMtTgZigMalCVN6BRh5jzgVTYHIBLyJC1HlkQuURA7nhKg275Ppwd1vbt1a7Rm4Kl-myVJW2rZNh4uNyvgev_oBr29aV9yaRMUwZR-ahmwOU1da5Whu5rQsfaycZyH2D0jcovxr0bP_Avhel3v0PysFi_qMIDorCNfrjV-Fbk3ESJpF8fhxKXI6eYIQoZ-EncaV-3A</recordid><startdate>200807</startdate><enddate>200807</enddate><creator>Wu, Ting-Pin</creator><creator>Chen, Son-Nan</creator><general>Wiley Subscription Services, Inc., A Wiley Company</general><general>Wiley Periodicals Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>200807</creationdate><title>Valuation of floating range notes in a LIBOR market model</title><author>Wu, Ting-Pin ; Chen, Son-Nan</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4270-5621cc620ccd892272ff8a22a009e2462d491a0fd90b9522ed5f3af8af0df4a83</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2008</creationdate><topic>Currency market</topic><topic>Financial models</topic><topic>Futures market</topic><topic>Interest rates</topic><topic>LIBOR</topic><topic>Money market</topic><topic>Pricing</topic><topic>Securities prices</topic><topic>Studies</topic><topic>Valuation methods</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Wu, Ting-Pin</creatorcontrib><creatorcontrib>Chen, Son-Nan</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The journal of futures markets</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Wu, Ting-Pin</au><au>Chen, Son-Nan</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Valuation of floating range notes in a LIBOR market model</atitle><jtitle>The journal of futures markets</jtitle><addtitle>J. Fut. Mark</addtitle><date>2008-07</date><risdate>2008</risdate><volume>28</volume><issue>7</issue><spage>697</spage><epage>710</epage><pages>697-710</pages><issn>0270-7314</issn><eissn>1096-9934</eissn><coden>JFMADT</coden><abstract>This study derives an approximate pricing formula of floating range notes (FRNs) within the multifactor LIBOR market model (LMM) framework. The LMM features the ease for calibration procedure, and the resulting pricing formula is more tractable. In addition, since the underlying rate of FRNs is usually the LIBOR rate, the pricing of the FRNs under the LMM is more direct and full of intuition. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:697–710, 2008</abstract><cop>Hoboken</cop><pub>Wiley Subscription Services, Inc., A Wiley Company</pub><doi>10.1002/fut.20310</doi><tpages>14</tpages></addata></record>
fulltext fulltext
identifier ISSN: 0270-7314
ispartof The journal of futures markets, 2008-07, Vol.28 (7), p.697-710
issn 0270-7314
1096-9934
language eng
recordid cdi_proquest_miscellaneous_37031448
source EBSCOhost Business Source Ultimate; International Bibliography of the Social Sciences (IBSS); Wiley
subjects Currency market
Financial models
Futures market
Interest rates
LIBOR
Money market
Pricing
Securities prices
Studies
Valuation methods
title Valuation of floating range notes in a LIBOR market model
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-10T22%3A10%3A31IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Valuation%20of%20floating%20range%20notes%20in%20a%20LIBOR%20market%20model&rft.jtitle=The%20journal%20of%20futures%20markets&rft.au=Wu,%20Ting-Pin&rft.date=2008-07&rft.volume=28&rft.issue=7&rft.spage=697&rft.epage=710&rft.pages=697-710&rft.issn=0270-7314&rft.eissn=1096-9934&rft.coden=JFMADT&rft_id=info:doi/10.1002/fut.20310&rft_dat=%3Cproquest_cross%3E1479593001%3C/proquest_cross%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c4270-5621cc620ccd892272ff8a22a009e2462d491a0fd90b9522ed5f3af8af0df4a83%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=211281421&rft_id=info:pmid/&rfr_iscdi=true