factors explicitly into account for a proper valuation and risk management of these securities. The performed analysis is facilitated by deriving closed-form formulas for the valuation of forward starting options, hereby taking the stochastic volatility, stochastic interest rates as well the depende
Implementation and performance of various stochastic models for interest rate derivatives
β Scribed by Francesco Rapisarda; Roberto Silvotti
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 225 KB
- Volume
- 17
- Category
- Article
- ISSN
- 1524-1904
- DOI
- 10.1002/asmb.432
No coin nor oath required. For personal study only.
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