Fast and accurate Greeks for the LIBOR market model
Year of publication: |
2011
|
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Authors: | Denson, Nick ; Joshi, Mark S. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 14.2010/11, 4, p. 115-140
|
Subject: | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Griechenland | Greece | Optionspreistheorie | Option pricing theory |
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