Arbitrage-Free Discretization of Lognormal Forward Libor and Swap Rate Models
Year of publication: |
[2011]
|
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Authors: | Glasserman, Paul |
Other Persons: | Zhao, Xiaoliang (contributor) |
Publisher: |
[2011]: [S.l.] : SSRN |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
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Type of publication: | Book / Working Paper |
Notes: | In: Finance and Stochastics, Vol. 4, Iss. 1 Volltext nicht verfügbar |
Classification: | G14 - Information and Market Efficiency; Event Studies ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: | ECONIS - Online Catalogue of the ZBW |
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