Estimating value-at-risk under a Heath-Jarrow-Morton framework with jump
Year of publication: |
2012
|
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Authors: | Ze-To, Samuel Yau Man |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 44.2012, 19/21, p. 2729-2741
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Subject: | Heath-Jarrow-Morton (HJM) Model | Risikomaß | Risk measure | Zinsderivat | Interest rate derivative | Futures | Optionspreistheorie | Option pricing theory | 2005-2009 |
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