Heterogeneous Yield Curves and Basis Swaps
Year of publication: |
2003-06
|
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Authors: | Tanaka, Keiichi |
Institutions: | Graduate School of Economics, Osaka University |
Subject: | Interest rate swap | Basis swap | Pricing kernel | Risk premium | LIBOR |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 03-12 19 pages |
Classification: | G1 - General Financial Markets ; D4 - Market Structure and Pricing ; C6 - Mathematical Methods and Programming |
Source: |
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