F. De Jong, J. Driessen and A. Pelsser, “LIBOR and Swap Market Models for the Pricing of Interest Rate Derivatives: An empirical comparison,” Working Paper, Center for Economic Research, Tilburg University, Tilburg, 2000.

has been cited by the following article:

• TITLE: The SAFEX-JIBAR Market Models

  AUTHORS: Victor Gumbo

  KEYWORDS: LIBOR; SAFEX-JIBAR; Market Models; Caps; Floors; Collars

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.4, November 29, 2012

  ABSTRACT: It is possible to construct an arbitrage-free interest rate model in which the LIBOR rates follow a log-normal process leading to Black-type pricing formulae for caps and floors. The key to their approach is to start directly with modeling observed market rates, LIBOR rates in this case, instead of instantaneous spot rates or forward rates. This model is known as the LIBOR Market Model. We formulate the SAFEX-JIBAR market model based on the fact that the forward JIBAR rates follow a log-normal process. Formulae of the Black-type are deduced.