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TRIVARIATE SUPPORT OF FLAT-VOLATILITY FORWARD LIBOR RATES

โœ Scribed by Farshid Jamshidian


Book ID
111043153
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
271 KB
Volume
20
Category
Article
ISSN
0960-1627

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๐Ÿ“œ SIMILAR VOLUMES


Accounting for stochastic interest rates
โœ Alexander Van Haastrecht; Antoon Pelsser ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 366 KB ๐Ÿ‘ 1 views

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