Asset pricing under general collateralization
Year of publication: |
June-September 2017
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Authors: | Mi, Yanhui |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 2/3, p. 1-23
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Subject: | Collateral management | repos | OIS | CSA | change of measure | bond option | Caplet/Cap | Hull-White model | Libor Market model | Zinsstruktur | Yield curve | Kreditsicherung | Collateral | Optionspreistheorie | Option pricing theory | CAPM | Zinsderivat | Interest rate derivative | Kreditrisiko | Credit risk | Finanzmarkt | Financial market |
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