Pricing treasury inflation protected securities and related derivatives using an HJM model
Year of publication: |
2003
|
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Authors: | Jarrow, Robert A. ; Yildirim, Yildiray |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 38.2003, 2, p. 337-356
|
Subject: | Derivat | Derivative | Indexbindung | Indexation | Staatspapier | Government securities | CAPM | Zinsstruktur | Yield curve | USA | United States |
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