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Empirical Tests of Two State-variable Heath-Jarrow-Morton Models
Language: en
Pages: 0

Empirical Tests of Two State-variable Heath-Jarrow-Morton Models

Authors: Robert R. Bliss
Categories:
Type: BOOK - Published: 1995 - Publisher:

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Empirical Tests of Two-State-Variable Heath-Jarrow-Morton Models
Language: en
Pages:

Empirical Tests of Two-State-Variable Heath-Jarrow-Morton Models

Authors: Robert R. Bliss
Categories:
Type: BOOK - Published: 1999 - Publisher:

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Models for pricing interest rate claims, developed under the Heath-Jarrow-Morton paradigm, differ according to the volatility structure imposed on forward rates
Empirical Tests of Two State-variable HJM Models
Language: en
Pages: 48

Empirical Tests of Two State-variable HJM Models

Authors: Robert R. Bliss
Categories: Interest rates
Type: BOOK - Published: 1995 - Publisher:

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Empirical Tests of Two State-Variable HJM Models
Language: en
Pages:

Empirical Tests of Two State-Variable HJM Models

Authors: Robert R. Bliss
Categories:
Type: BOOK - Published: 2014 - Publisher:

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Models for pricing interest rate claims, developed under the Heath-Jarrow-Morton paradigm, differ according to the volatility structure imposed on forward rates
Interest Rate Models - Theory and Practice
Language: en
Pages: 1016

Interest Rate Models - Theory and Practice

Authors: Damiano Brigo
Categories: Mathematics
Type: BOOK - Published: 2007-09-26 - Publisher: Springer Science & Business Media

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The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, wit
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