OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads
Year of publication: |
2015
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Authors: | Hull, John ; White, Alan |
Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 13.2015, 1, p. 64-83
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Subject: | OIS | LIBOR | swaps | swaptions | caps | interest rate trees | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Swap | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Zins | Interest rate |
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