LIBOR market model under the real-world measure
Year of publication: |
2013
|
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Authors: | Yasuoka, Takashi |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 4, p. 1-18
|
Subject: | LIBOR market model | term structure model | market price of risk | real-world simulation | principal component analysis | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Simulation |
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