Extended Libor Market Models with Affine and Quadratic Volatility
Year of publication: |
2002
|
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Authors: | Zühlsdorff, Christian |
Publisher: |
Bonn : University of Bonn, Bonn Graduate School of Economics (BGSE) |
Subject: | forward Libor rates | Libor market model | affine volatility | quadratic volatility | dervatives pricing | closed form solutions | LMM | BGM |
Series: | Bonn Econ Discussion Papers ; 6/2002 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 869370693 [GVK] hdl:10419/78382 [Handle] RePEc:zbw:bonedp:62002 [RePEc] |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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