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Interest Rate Swaps : A Bargaining Game Solution, Uday Apte, Prafulla G. Nabar
Interest Rate Swaps : A Bargaining Game Solution, Uday Apte, Prafulla G. Nabar
Historical Working Papers
Two types of interest rate swaps are analyzed, one between a firm and intermediary and one between two risky firms through an intermediary. A game model is introduced that can provide the equilibrium swap rate that is acceptable to both parties.